FIRST TRUST

First Trust Exchange-Traded Fund VIII

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First Trust TCW Opportunistic Fixed Income ETF (FIXD)

First Trust TCW Unconstrained Plus Bond ETF (UCON)

First Trust TCW Securitized Plus ETF (DEED)

First Trust TCW Emerging Markets Debt ETF (EFIX)

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Annual Report
For the Year Ended
August 31, 2022
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED FUND VIII
ANNUAL REPORT
AUGUST 31, 2022

Shareholder Letter.......................................................... 2
Fund Performance Overview
First Trust TCW Opportunistic Fixed Income ETF (FIXD).................... 3
First Trust TCW Unconstrained Plus Bond ETF (UCON)....................... 5
First Trust TCW Securitized Plus ETF (DEED).............................. 7
First Trust TCW Emerging Markets Debt ETF (EFIX)......................... 9
Notes to Fund Performance Overview.......................................... 11
Portfolio Commentary........................................................ 12
Understanding Your Fund Expenses............................................ 20
Portfolio of Investments
First Trust TCW Opportunistic Fixed Income ETF (FIXD).................... 21
First Trust TCW Unconstrained Plus Bond ETF (UCON)....................... 52
First Trust TCW Securitized Plus ETF (DEED).............................. 85
First Trust TCW Emerging Markets Debt ETF (EFIX)......................... 98
Statements of Assets and Liabilities........................................ 102
Statements of Operations.................................................... 103
Statements of Changes in Net Assets......................................... 104
Financial Highlights........................................................ 106
Notes to Financial Statements............................................... 108
Report of Independent Registered Public Accounting Firm..................... 122
Additional Information...................................................... 123
Board of Trustees and Officers.............................................. 131
Privacy Policy.............................................................. 133

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CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and/or TCW Investment Management Company LLC ("TCW" or
the "Sub-Advisor") and their respective representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
the series of First Trust Exchange-Traded Fund VIII (the "Trust") described in
this report (each such series is referred to as a "Fund" and collectively, as
the "Funds") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and/or Sub-Advisor and their respective representatives
only as of the date hereof. We undertake no obligation to publicly revise or
update these forward-looking statements to reflect events and circumstances that
arise after the date hereof.

PERFORMANCE AND RISK DISCLOSURE

There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund's shares may therefore be less than what you paid
for them. Accordingly, you can lose money investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of certain other risks of investing in the Funds.

Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.

The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.

HOW TO READ THIS REPORT

This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.

By reading the portfolio commentary from the portfolio management team of the
Funds, you may obtain an understanding of how the market environment affected
each Fund's performance. The statistical information that follows may help you
understand each Fund's performance compared to that of a relevant market
benchmark.

It is important to keep in mind that the opinions expressed by personnel of the
Advisor and/or Sub-Advisor are just that: informed opinions. They should not be
considered to be promises or advice. The opinions, like the statistics, cover
the period through the date on the cover of this report. The material risks of
investing in each Fund are spelled out in the prospectus, the statement of
additional information, and other Fund regulatory filings.

Page 1

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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED FUND VIII
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
AUGUST 31, 2022

Dear Shareholders:

First Trust is pleased to provide you with the annual report for certain series
of the First Trust Exchange-Traded Fund VIII (the "Funds"), which contains
detailed information about the Funds for the twelve months ended August 31,
2022.

At their most recent meeting (September 20-21, 2022), the Federal Open Market
Committee announced a 75 basis point interest rate hike, the third rate hike in
as many meetings. Overall, the Federal Reserve (the "Fed") has raised its
benchmark Federal Funds target rate (upper bound) from 0.25% this past March to
3.25% as of September 30, 2022, the fastest pace for rate hikes since 1994. The
Fed is hiking interest rates aggressively to combat the surge in inflation that
commenced in the second quarter of 2021. Perhaps the most common measure of
inflation is the Consumer Price Index ("CPI"). The CPI has averaged 3.0% per
year since 1926 but stood at an eye-popping 8.3% on a trailing 12-month basis in
August 2022. Its recent high point was 9.1% in June 2022. For borrowers, these
rate hikes will raise the cost of capital, making it tougher to secure loans for
consumers and businesses. The goal is to raise interest rates high enough to
cool some of the demand for goods and services so that inflation can begin to
moderate. The Fed would eventually like to see the CPI back near the 2.0% level.
It will take some time to play out. Guidance from Fed Chairman Jerome Powell
indicates that more rate hikes are coming, perhaps as much as another 100 basis
points by year-end. We'll see.

One of the areas that has yet to cool off is the housing market, in my opinion.
We have seen a substantial selloff this year in the stock and bond markets, but
not housing. Prices appreciated markedly across the U.S. during the coronavirus
("COVID-19") pandemic. Demand was high and inventories were uncharacteristically
low. Simply put, housing affordability has become a huge challenge for many
prospective buyers. The S&P CoreLogic Case-Shiller U.S. National Home Price
Index, which tracks the value of single-family homes, soared 45.2% from the end
of 2019 through June 2022. Keep in mind, historically, home prices tend to rise
with inflation over time. They are not supposed to increase 45% over 30 months.
The rapid increase in short-term lending rates has caused the rate on a 30-year
fixed-rate mortgage to nearly double from 3.27% at the end of 2021 to 6.43% as
of September 21, 2022, according to Bankrate. The sharp rise in mortgage rates
is just beginning to have a slight effect on demand. Redfin reported that close
to 63,000 deals on existing homes fell through in July 2022, or around 16% of
homes under contract that month, according to CNBC.

Fed Chairman Powell is trying to engineer a soft landing for the economy via
monetary policy. In other words, the Fed is trying to avoid a deep and lengthy
recession. That is why the relative resilience of the real estate markets, both
residential and commercial, is so critical at this juncture. One other plus
going for the U.S. economy today is the strong labor market. As of this report,
companies are still hiring. If these sources of strength eventually succumb to
the economic headwinds and turn weaker, the odds of achieving a soft landing
drop dramatically, in my opinion. For those investors who like to follow the
news closely, in addition to monitoring the state of the economy, keep an eye on
the war between Russia and Ukraine as well as the COVID-19-induced lockdowns of
cities in China. Any good news on those two fronts could be a net positive for
the markets moving forward. As I previously noted, it is going to take some time
to remedy this situation. As always, we encourage investors to be diversified
and stay the course.

Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.

Sincerely,

/s/ James A. Bowen

James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.

Page 2

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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)

The investment objective of the First Trust TCW Opportunistic Fixed Income ETF
(the "Fund") is to seek to maximize long-term total return. Under normal market
conditions, the Fund pursues its objective by investing at least 80% of its net
assets (including investment borrowings) in fixed income securities. The Fund's
investments principally include securities issued or guaranteed by the U.S.
government or its agencies, instrumentalities or U.S. government-sponsored
entities; Treasury Inflation Protected Securities (TIPS); agency and non-agency
residential mortgage-backed securities (RMBS); agency and non-agency commercial
mortgage-backed securities (CMBS); agency and non-agency asset-backed securities
(ABS); U.S. corporate bonds; fixed income securities issued by non-U.S.
corporations and governments, including issuers with significant ties to
emerging market countries; bank loans, including first lien senior secured
floating rate bank loans; municipal bonds; collateralized loan obligations
(CLOs); Rule 144A securities, and other debt securities bearing fixed, floating
or variable interest rates of any maturity. The Fund may also invest in
preferred stock and common stock. The Fund may utilize listed and
over-the-counter derivatives instruments. Shares of the Fund are listed on The
Nasdaq Stock Market LLC under the ticker symbol "FIXD."

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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (2/14/17) Ended (2/14/17)
8/31/22 8/31/22 to 8/31/22 8/31/22 to 8/31/22

FUND PERFORMANCE
NAV -12.84% 0.72% 1.23% 3.65% 7.00%
Market Price -13.14% 0.67% 1.18% 3.41% 6.71%

INDEX PERFORMANCE
Bloomberg U.S. Aggregate Bond Index -11.52% 0.52% 1.08% 2.62% 6.13%
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(See Notes to Fund Performance Overview on page 11.)

PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 14, 2017 - AUGUST 31, 2022

First Trust TCW Bloomberg
Opportunistic Fixed U.S. Aggregate
Income ETF Bond Index

2/14/17 $10,000 $10,000
2/28/17 10,068 10,066
8/31/17 10,323 10,342
2/28/18 10,130 10,117
8/31/18 10,265 10,233
2/28/19 10,470 10,437
8/31/19 11,325 11,274
2/29/20 11,699 11,657
8/31/20 12,182 12,004
2/28/21 12,048 11,818
8/31/21 12,276 11,994
2/28/22 11,772 11,505
8/31/22 10,700 10,613

Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.

Performance in securitized product investment strategies can be impacted from
the benefits of purchasing odd lot positions. The impact of these investments
can be particularly meaningful when funds have limited assets under management
and may not be a sustainable source of performance as a fund grows in size.

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.

Page 3

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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD) (CONTINUED)

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% OF TOTAL
FUND ALLOCATION NET ASSETS
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U.S. Government Agency Mortgage-Backed
Securities 33.1%
U.S. Government Bonds and Notes 23.2
Corporate Bonds and Notes 23.0
Asset-Backed Securities 12.2
Mortgage-Backed Securities 10.7
Foreign Corporate Bonds and Notes 7.3
Senior Floating-Rate Loan Interests 2.1
Foreign Sovereign Bonds and Notes 1.9
U.S. Government Agency Securities 1.4
Municipal Bonds 1.0
Common Stocks 0.0*
Rights 0.0*
Money Market Funds 1.9
Call Options Purchased 0.0*
Call Options Written (0.0)*
Net Other Assets and Liabilities** (17.8)
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Total 100.0%
=======

* Amount is less than 0.1%.
** Includes variation margin on futures contracts, unrealized appreciation/
depreciation on forward foreign currency contracts and unrealized
appreciation/depreciation on interest rate swap agreements.

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% OF
FIXED-INCOME
CREDIT QUALITY(1) INVESTMENTS
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Government/Agency 49.8%
AAA 3.1
AA+ 0.7
AA 2.0
AA- 1.6
A+ 0.8
A 1.6
A- 5.1
BBB+ 5.7
BBB 8.0
BBB- 5.0
BB+ 3.5
BB 1.7
BB- 1.4
B+ 0.5
B 1.0
B- 0.9
CCC+ 0.3
CCC 2.1
CCC- 0.6
CC 2.9
C 0.5
D 1.2
-------
Total 100.0%
=======

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% OF
FIXED-INCOME
TOP TEN HOLDINGS INVESTMENTS
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U.S. Treasury Bond, 2.00%, 11/15/41 3.9%
U.S. Treasury Note, 3.13%, 08/31/27 3.9
Federal National Mortgage Association, Pool
TBA, 2.50%, 10/15/52 3.8
Federal National Mortgage Association, Pool
TBA, 2.00%, 10/15/52 3.5
U.S. Treasury Note, 2.75%, 07/31/27 2.5
Federal National Mortgage Association, Pool
TBA, 3.00%, 10/15/52 2.3
U.S. Treasury Note, 3.25%, 08/31/24 2.3
U.S. Treasury Note, 3.00%, 07/31/24 1.8
U.S. Treasury Bond, 2.38%, 02/15/42 1.8
Federal National Mortgage Association, Pool
TBA, 4.50%, 09/15/52 1.5
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Total 27.3%
=======

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(1) The credit quality and ratings information presented above reflect the
ratings assigned by one or more nationally recognized statistical rating
organizations (NRSROs), including S&P Global Ratings, Moody's Investors
Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations
in which a security is rated by more than one NRSRO and the ratings are not
equivalent, the lowest ratings are used. Sub-investment grade ratings are
those rated BB+/Ba1 or lower. Investment grade ratings are those rated
BBB-/Baa3 or higher. The credit ratings shown relate to the
creditworthiness of the issuers of the underlying securities in the Fund,
and not to the Fund or its shares. U.S. Treasury, U.S. Agency and U.S.
Agency mortgage-backed securities appear under "Government/Agency." Credit
ratings are subject to change.

Page 4

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)

The investment objective of the First Trust TCW Unconstrained Plus Bond ETF (the
"Fund") is to seek to maximize long-term total return. Under normal market
conditions, the Fund pursues its objective by investing at least 80% of its net
assets (including investment borrowings) in a portfolio of fixed income
securities. The Fund's investment sub-advisor, TCW Investment Management Company
LLC, manages the Fund's portfolio in an "unconstrained" manner, meaning that its
investment universe is not limited to the securities of any particular index and
it has discretion to invest in fixed income securities of any type or credit
quality. The Fund's investments principally include securities issued or
guaranteed by the U.S. government or its agencies, instrumentalities or U.S.
government-sponsored entities; Treasury Inflation Protected Securities (TIPS);
agency and non-agency residential mortgage-backed securities (RMBS); agency and
non-agency commercial mortgage-backed securities (CMBS); agency and non-agency
asset-backed securities (ABS); U.S. corporate bonds; fixed income securities
issued by non-U.S. corporations and governments, including issuers with
significant ties to emerging market countries; bank loans, including first lien
senior secured floating rate bank loans; municipal bonds; collateralized loan
obligations (CLOs); Rule 144A securities, and other debt securities bearing
fixed, floating or variable interest rates of any maturity. The Fund may also
invest in preferred stock and common stock and the Fund may utilize listed and
over-the-counter derivatives. Under normal market conditions, the Fund's average
portfolio duration will vary from between 0 to 10 years. Shares of the Fund are
listed on The NYSE Arca, Inc. under the ticker symbol "UCON."

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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (6/4/18) Inception (6/4/18)
8/31/22 to 8/31/22 to 8/31/22

FUND PERFORMANCE
NAV -5.55% 2.42% 10.65%
Market Price -5.31% 2.52% 11.09%

INDEX PERFORMANCE
ICE BofA US Dollar 3-Month Deposit Offered Rate Average Index 0.72% 1.32% 5.72%
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(See Notes to Fund Performance Overview on page 11.)

PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JUNE 4, 2018 - AUGUST 31, 2022

First Trust TCW ICE BofA US Dollar
Opportunistic Fixed 3-Month Deposit Offered
Income ETF Rate Average Index

6/4/18 $10,000 $10,000
8/31/18 10,106 10,057
2/28/19 10,323 10,185
8/31/19 10,728 10,318
2/29/20 10,960 10,425
8/31/20 11,261 10,475
2/28/21 11,596 10,488
8/31/21 11,716 10,496
2/28/22 11,489 10,505
8/31/22 11,065 10,572

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Page 5

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON) (CONTINUED)

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% OF TOTAL
FUND ALLOCATION NET ASSETS
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Mortgage-Backed Securities 26.5%
Corporate Bonds and Notes 22.0
Asset-Backed Securities 17.5
U.S. Government Agency Mortgage-Backed
Securities 14.7
Foreign Corporate Bonds and Notes 6.6
Foreign Sovereign Bonds and Notes 4.4
U.S. Government Agency Securities 0.4
Municipal Bonds 0.1
Common Stocks 0.0*
Rights 0.0*
U.S. Treasury Bills 19.3
Money Market Funds 1.4
Net Other Assets and Liabilities** (12.9)
-------
Total 100.0%
=======

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% OF
FIXED-INCOME
CREDIT QUALITY(1) INVESTMENTS
----------------------------------------------------------
Government/Agency 31.0%
AAA 6.7
AA+ 1.0
AA 2.6
AA- 1.7
A+ 0.6
A 1.6
A- 4.7
BBB+ 3.9
BBB 8.1
BBB- 5.7
BB+ 3.5
BB 2.2
BB- 2.9
B+ 1.1
B 3.2
B- 2.1
CCC+ 1.5
CCC 5.6
CCC- 2.3
CC 5.0
C 1.5
D 1.5
-------
Total 100.0%
=======

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% OF
FIXED-INCOME
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
U.S. Treasury Bill, 0.00%, 10/06/2022 6.7%
Federal National Mortgage Association, Pool
TBA, 2.50%, 10/15/2052 4.0
U.S. Treasury Bill, 0.00%, 01/19/2023 3.3
Federal National Mortgage Association, Pool
TBA, 2.00%, 10/15/2052 2.7
Federal National Mortgage Association, Pool
TBA, 3.00%, 10/15/2052 2.6
U.S. Treasury Bill, 0.00%, 11/10/2022 1.5
Federal National Mortgage Association, Pool
TBA, 4.50%, 09/15/2052 1.3
U.S. Treasury Bill, 0.00%, 01/12/2023 1.3
U.S. Treasury Bill, 0.00%, 01/05/2023 1.0
U.S. Treasury Bill, 0.00%, 09/01/2022 1.0
-------
Total 25.4%
=======

Page 6

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)

The First Trust TCW Securitized Plus ETF seeks to maximize long-term total
return. Under normal market conditions, the Fund will invest at least 80% of its
net assets (including investment borrowings) in securitized debt securities,
including asset-backed securities, residential and commercial mortgage-backed
securities and collateralized loan obligations (CLOs). The Fund's investment
sub-advisor, TCW Investment Management Company LLC ("TCW" or the "Sub-Advisor"),
seeks to outperform the Bloomberg U.S. Mortgage-Backed Securities Index over
time through the utilization of independent, bottom-up research to identify
securities that are relatively undervalued. Under normal conditions, the Fund's
average portfolio duration varies within two years (plus or minus) of the
portfolio duration of the securities comprising the Bloomberg U.S.
Mortgage-Backed Securities Index. As a separate measure, there is no limit on
the weighted average maturity of the Fund's portfolio. While maturity refers to
the expected life of a security, duration is a measure of the expected price
volatility of a debt security as a result of changes in market rates of
interest. The Fund may utilize listed and over-the-counter derivatives
instruments. Shares of the Fund are listed on The NYSE Arca, Inc. under the
ticker symbol "DEED."

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PERFORMANCE
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AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (4/29/20) Inception (4/29/20)
8/31/22 to 8/31/22 to 8/31/22

FUND PERFORMANCE
NAV -10.87% -2.07% -4.77%
Market Price -11.22% -2.23% -5.14%

INDEX PERFORMANCE
Bloomberg U.S. Mortgage-Backed Securities Index -9.73% -4.21% -9.57%
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(See Notes to Fund Performance Overview on page 11.)

PERFORMANCE OF A $10,000 INITIAL INVESTMENT
APRIL 29, 2020 - AUGUST 31, 2022

Bloomberg
First Trust TCW U.S. Mortgage-Backed
Securitized Plus ETF Securities Index

4/29/20 $10,000 $10,000
8/31/20 10,380 10,036
2/28/21 10,492 9,990
8/31/21 10,684 10,018
2/28/22 10,390 9,703
8/31/22 9,523 9,043

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Page 7

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED) (CONTINUED)

----------------------------------------------------------
% OF TOTAL
FUND ALLOCATION NET ASSETS
----------------------------------------------------------
U.S. Government Agency Mortgage-Backed
Securities 68.2%
Mortgage-Backed Securities 29.8
Asset-Backed Securities 24.7
U.S. Government Bonds and Notes 6.7
U.S. Government Agency Securities 4.4
U.S. Treasury Bills 9.0
Money Market Funds 5.1
Net Other Assets and Liabilities* (47.9)
-------
Total 100.0%
=======

* Includes variation margin on futures contracts and unrealized appreciation on
forward foreign currency contracts.

----------------------------------------------------------
% OF
FIXED-INCOME
CREDIT QUALITY(1) INVESTMENTS
----------------------------------------------------------
Government/Agency 61.3%
AAA 5.5
AA+ 1.1
AA 2.4
AA- 1.3
A+ 0.2
A 1.8
A- 1.0
BBB 1.1
BBB- 0.8
BB 3.2
BB- 0.5
B+ 0.5
B 1.4
B- 2.2
CCC+ 0.7
CCC 3.5
CCC- 2.0
CC 6.1
C 1.8
D 1.6
-------
Total 100.0%
=======

----------------------------------------------------------
% OF
FIXED-INCOME
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Federal National Mortgage Association, Pool
TBA, 2.00%, 10/15/52 9.7%
Federal National Mortgage Association, Pool
TBA, 2.50%, 10/15/52 8.0
Government National Mortgage Association,
Pool TBA, 2.50%, 09/15/52 4.5
Federal National Mortgage Association, Pool
TBA, 3.00%, 10/15/52 4.3
U.S. Treasury Bill, 0.00%, 01/19/23 2.5
Federal National Mortgage Association, Pool
TBA, 3.50%, 09/15/52 2.1
Federal National Mortgage Association, Pool
TBA, 4.00%, 09/15/52 1.6
Federal Home Loan Banks, 1.20%, 12/23/24 1.5
Federal National Mortgage Association, Pool
TBA, 4.50%, 09/15/52 1.4
U.S. Treasury Note, 3.25%, 08/31/24 1.1
-------
Total 36.7%
=======

-----------------------------
(1) The credit quality and ratings information presented above reflect the
ratings assigned by one or more nationally recognized statistical rating
organizations (NRSROs), including S&P Global Ratings, Moody's Investors
Service, Inc., Fitch Ratings, or a comparably rated NRSRO. For situations
in which a security is rated by more than one NRSRO and the ratings are not
equivalent, the lowest ratings are used. Sub-investment grade ratings are
those rated BB+/Ba1 or lower. Investment grade ratings are those rated
BBB-/Baa3 or higher. The credit ratings shown relate to the
creditworthiness of the issuers of the underlying securities in the fund,
and not to the fund or its shares. U.S. Treasury, U.S. Agency and U.S.
Agency mortgage-backed securities appear under "Government/Agency." Credit
ratings are subject to change.

Page 8

FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)

The First Trust TCW Emerging Markets Debt ETF (the "Fund") seeks to provide high
total return from current income and capital appreciation. Under normal market
conditions, the Fund will invest at least 80% of its net assets (including
investment borrowings) in debt securities issued or guaranteed by companies,
financial institutions and government entities located in emerging market
countries. An "emerging market country" is a country that, at the time the Fund
invests in the related security or instrument, is classified as an emerging or
developing economy by any supranational organization such as the World Bank or
the United Nations, or related entities, or is considered an emerging market
country for purposes of constructing a major emerging market securities index.
The Fund's investments include, but are not limited to, debt securities issued
by sovereign entities, quasi-sovereign entities and corporations.
"Quasi-Sovereign" refers to an entity that is either 100% owned by a sovereign
entity or whose debt is 100% guaranteed by a sovereign entity. The Fund may
invest up to 25% of its net assets in securities issued by corporations in
emerging market countries that are not Quasi-Sovereign entities. The Fund will
invest at least 90% of its assets in dollar-denominated securities. The Fund may
utilize listed and over-the-counter derivatives instruments. Shares of the Fund
are listed on The NYSE Arca, Inc. under the ticker symbol "EFIX."

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PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Ended Inception (2/17/21) Inception (2/17/21)
8/31/22 to 8/31/22 to 8/31/22

FUND PERFORMANCE
NAV -18.52% -11.42% -16.95%
Market Price -18.49% -11.59% -17.20%

INDEX PERFORMANCE
JP Morgan Emerging Market Bond Index Global Diversified -20.82% -12.64% -18.72%
------------------------------------------------------------------------------------------------------------------------------------

(See Notes to Fund Performance Overview on page 11.)

PERFORMANCE OF A $10,000 INITIAL INVESTMENT
FEBRUARY 17, 2021 - AUGUST 31, 2022

First Trust TCW JP Morgan Emerging
Emerging Markets Market Bond Index
Debt ETF Global Diversified

2/17/21 $10,000 $10,000
2/28/21 9,825 9,822
8/31/21 10,193 10,264
2/28/22 9,204 9,086
8/31/22 8,305 8,128

FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS

Page 9

FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX) (CONTINUED)

----------------------------------------------------------
% OF TOTAL
ASSET CLASSIFICATION INVESTMENTS
----------------------------------------------------------
Foreign Sovereign Bonds and Notes 62.2%
Foreign Corporate Bonds and Notes 34.6
Money Market Funds 3.2
-------
Total 100.0%
=======

----------------------------------------------------------
% OF
FIXED-INCOME
CREDIT QUALITY(1) INVESTMENTS
----------------------------------------------------------
AA 5.1%
AA- 7.3
A+ 2.3
A 5.1
A- 3.0
BBB 9.0
BBB- 22.7
BB+ 0.4
BB 2.1
BB- 16.3
B+ 8.6
B 5.4
B- 6.7
CCC+ 3.9
CCC- 1.0
CC 1.1
-------
Total 100.0%
=======

----------------------------------------------------------
% OF
FIXED-INCOME
TOP TEN HOLDINGS INVESTMENTS
----------------------------------------------------------
Indonesia Asahan Aluminium Persero PT
(USD), 5.45%, 05/15/30 3.6%
Mexico Government International Bond
(USD), 4.28%, 08/14/41 3.2
Egypt Government International Bond (USD),
6.59%, 02/21/28 3.2
Panama Government International Bond (USD),
2.25%, 09/29/32 3.1
Chile Government International Bond (USD),
3.10%, 05/07/41 3.0
Abu Dhabi Government International Bond
(USD), 1.70%, 03/02/31 2.9
Angolan Government International Bond (USD),
8.75%, 04/14/32 2.8
il and Gas Holding (The) Co. BSCC (USD),

7.63%, 11/07/24 2.7
Dominican Republic International Bond (USD),
4.88%, 09/23/32 2.7
Qatar Government International Bond (USD),
3.75%, 04/16/30 2.7
-------
Total 29.9%
=======

Page 10

--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------

Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived by the Advisor.

Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint of the national best bid and offer price ("NBBO") as of
the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists
of the highest displayed buy and lowest sell prices among the various exchanges
trading the Fund at the time the Fund's NAV is calculated. Prior to January 1,
2019, the price used was the midpoint between the highest bid and the lowest
offer on the stock exchange on which shares of the Fund were listed for trading
as of the time that the Fund's NAV was calculated. Since shares of each Fund did
not trade in the secondary market until after the Fund's inception, for the
period from inception to the first day of secondary market trading in shares of
the Fund, the NAV of each Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
all distributions have been reinvested in each Fund at NAV and Market Price,
respectively.

An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.

Page 11

--------------------------------------------------------------------------------
PORTFOLIO COMMENTARY
--------------------------------------------------------------------------------

FIRST TRUST EXCHANGE-TRADED FUND VIII
ANNUAL REPORT
AUGUST 31, 2022 (UNAUDITED)

ADVISOR

First Trust Advisors L.P. ("First Trust") is the investment advisor to the First
Trust TCW Opportunistic Fixed Income ETF ("FIXD"), the First Trust TCW
Unconstrained Plus Bond ETF ("UCON"), the First Trust TCW Securitized Plus ETF
("DEED"), and the First Trust TCW Emerging Markets Debt ETF ("EFIX") (each a
"Fund"). First Trust is responsible for the ongoing monitoring of each Fund's
investment portfolio, managing each Fund's business affairs and providing
certain administrative services necessary for the management of each Fund.

SUB-ADVISOR

TCW Investment Management Company LLC ("TCW" or the "Sub-Advisor") serves as
investment sub-advisor. In this capacity, TCW is responsible for the selection
and ongoing monitoring of the securities in each Fund's investment portfolio.
TCW, with principal offices at 865 South Figueroa Street, Los Angeles,
California 90017, was founded in 1987, and is a wholly-owned subsidiary of The
TCW Group, Inc. ("TCW Group"). TCW, together with TCW Group and its other
subsidiaries, which provide investment management and investment advisory
services, had approximately $218 billion under management or committed to
management, including $191.3 billion of U.S. fixed income investments, as of
August 31, 2022.

PORTFOLIO MANAGEMENT TEAM

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)

Bryan T. Whalen, CFA, Generalist Portfolio Manager, Co-Chief Investment Officer
and Co-Director in the Fixed Income Group of TCW

Stephen M. Kane, CFA, Generalist Portfolio Manager, Co-Chief Investment Officer
and Co-Director in the Fixed Income Group of TCW

Laird Landmann, Generalist Portfolio Manager and Co-Director in the Fixed Income
Group of TCW

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)

Bryan T. Whalen, CFA, Generalist Portfolio Manager, Co-Chief Investment Officer
and Co-Director in the Fixed Income Group of TCW

Mitchell Flack, Specialist Portfolio Manager and Managing Director in the Fixed
Income Group of TCW

Elizabeth J. Crawford, Specialist Portfolio Manager and Managing Director in the
Fixed Income Group of TCW

Harrison Choi, Specialist Portfolio Manager and Managing Director in the Fixed
Income Group of TCW

FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)

Penelope D. Foley, Group Managing Director at TCW

David I. Robbins, Group Managing Director at TCW

Alex Stanojevic, Group Managing Director at TCW

COMMENTARY

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)

MARKET RECAP

Market concerns towards the latter part of 2021 were marked by emerging
inflationary pressures and the continuation of coronavirus ("COVID-19")
pandemic-related headwinds as the Delta variant of COVID-19 gave way to the more
contagious Omicron variant. Notwithstanding the uptick in cases and increased
transmissibility of the virus, the economy remained largely resilient with solid
non-farm payroll reports and strong retail sales, leading the Federal Open
Market Committee ("FOMC") to announce (and later accelerate) a tapering timeline
through year-end. The November 2021 Consumer Price Index ("CPI") report (+6.8%
increase year-over-year) highlighted growing price pressures faced by consumers,
with essentials such as gas and rent largely contributing to the surging figure,
while consumers also bore the brunt of cost pressures passed along by businesses
combating supply chain bottlenecks and labor supply issues. Meanwhile, equity
markets remained strong after bouncing back from the pandemic lows of 2020,
illustrated by a 28% return for the 2021 calendar year by the S&P 500(R) Index,
while the fourth quarter gross domestic product ("GDP") also rebounded, posting
a nearly 7% annualized increase.

Page 12

--------------------------------------------------------------------------------
PORTFOLIO COMMENTARY (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST EXCHANGE-TRADED FUND VIII
ANNUAL REPORT
AUGUST 31, 2022 (UNAUDITED)

As the calendar turned from 2021 to 2022, the combination of strong economic
data and elevated inflation reports gave the FOMC cover to announce, in addition
to the previously mentioned tapering timeline, the first rate hike since late
2018, effective in March 2022. Markets quickly repriced, with the expectations
of a more aggressive Federal Reserve (the "Fed") dragging down most risk assets
while Treasury yields rose across the maturity spectrum in the early months of
2022. Investors, already trying to navigate the removal of accommodative policy,
lingering COVID-19 variants and elevated prices faced another headwind when
Russia invaded Ukraine in February 2022, adding geopolitical tension into the
confluence of factors contributing to a difficult environment in the first half
of 2022. Commodity prices surged as supply and demand technicals became sharply
skewed from the war, exacerbating inflationary concerns and leading to a 9.1%
year-over-year increase in the June 2022 CPI report - the largest increase since
1981. The FOMC delivered back-to-back 75 basis point (bps) rate hikes at their
June and July 2022 meetings in an effort to combat this climbing inflation,
resulting in a tightening of financial conditions and a drag on risk assets.
Treasury yields soared, led by more policy-sensitive short rates, with the climb
in yields also accompanied by negative GDP reports. Investor sentiment, as
measured by the University of Michigan Consumer Sentiment Index, reached a
40-year low amid elevated price pressures and slowing growth, though a brief
rally in July 2022 (spurred mainly by optimism that financial conditions may
loosen as inflation came in slightly below forecast) led to an improved reading
during the summer months. Fed Chairman Jerome Powell's speech at the FOMC's
annual retreat in Jackson Hole in late August 2022 quickly dampened any ideas of
less restrictive policy, however, as he reaffirmed the committee's focus on
fighting inflation despite the potential economic pain that may ensue.

Against this backdrop of rising rates, slowing growth, continued
COVID-19-related concerns and sustained geopolitical tension, risk assets
declined during the 12-month period ended August 31, 2022 with both equity and
fixed income markets falling just over 11% for the trailing 1-year period, as
measured by the S&P 500(R) Index and the Bloomberg U.S. Aggregate Bond Index,
respectively. Further, the Aggregate Bond Index suffered the largest drawdown
since its inception during the second quarter of 2022, emphasizing the toll that
the challenging economic and financial conditions had on asset prices.
Unsurprisingly, all fixed income sectors posted negative total and excess
returns, with asset-backed securities ("ABS") the top performer during the
period at "only" -32 bps excess returns. Investment grade corporates fell nearly
15% over the period as rising rates weighed on corporate spreads, while agency
mortgage-backed securities ("MBS") also suffered amid the sustained rate
volatility and prospect of active Fed sales as the announcement of tapering in
late 2021 eventually gave way to the most aggressive hiking regime in four
decades. Meanwhile, Emerging Markets ("EMs") were among the worst performers in
the fixed income space as rising rates, slowing growth and the conflict in
Eastern Europe weighed on the sector, while the more levered and more risky high
yield corporate sector also severely underperformed.

PERFORMANCE ANALYSIS

The Fund fell by 12.84% based on net asset value ("NAV") and 13.14% based on
market price for the 12-month period ended August 31, 2022, while the Bloomberg
U.S. Aggregate Bond Index (the "Benchmark") fell by 11.52% during the same
period. Returns benefitted from the Fund's duration positioning, which was
shorter than the Benchmark for the first half of the period. As rates began to
rise on the Fed's comments of tapering in late 2021, and the eventual
announcement of forthcoming rate hikes in early 2022, this positioning helped
insulate the portfolio from the negative effects of climbing rates, though the
position was extended in a disciplined fashion alongside the rise in rates
throughout the second half of the period. Meanwhile, the Fund maintained a
curve-steepening bias throughout the period, which weighed on returns as
policy-sensitive shorter rates surged higher over the period on the back of the
Fed's aggressive tightening cycle.

Corporate credit was additive from a positioning standpoint as the Fund entered
the period positioned defensively with a relative underweight to corporate
credit overall, which was maintained for the majority of the year. With
investment grade corporates declining nearly 15%, the Fund was able to avoid the
worst of the downdraft from widening yield spreads and declining prices, while
also preserving liquidity to eventually expand the risk budgets in the second
quarter of 2022 when market dislocations provided attractive entry points.
Exposure was added in high-quality names and sectors at favorable levels and
enhanced compensation commensurate with the risk undertaken in doing so.
Additions were largely focused among the Fund's preferred defensive sectors,
including the Communications sector, Non-Cyclicals, and the Banking sector, as
they traditionally better withstand prolonged bouts of volatility. Returns were
negatively impacted by these additions, however, as they were made during times
of yield spread widening, largely offsetting the positive impact from being
previously underweight. Despite this drag on performance, we believe that these
additions should bolster prospective returns when yield spreads remediate, while
also providing enhanced income opportunities in the interim. Meanwhile, the
relatively constant position among high yield corporates was a headwind, with
the sector trailing duration-matched Treasuries by 354 bps as this cohort also
struggled amid the challenging conditions observed in the marketplace, with many
of the more levered borrowers feeling the effects of increased costs of
financing.

Page 13

--------------------------------------------------------------------------------
PORTFOLIO COMMENTARY (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST EXCHANGE-TRADED FUND VIII
ANNUAL REPORT
AUGUST 31, 2022 (UNAUDITED)

Securitized credit also weighed on relative performance throughout the year,
especially in the residential MBS space. With the Fund maintaining an overweight
position in agency MBS, performance suffered as the sector struggled from
continued rate volatility, aggressive Fed policy, and concern of outright sales
from the Fed's balance sheet. Additionally, the off-index exposure to non-agency
MBS produced a drag as the sector struggled with broader macro uncertainty and
downward repricing. The small positions in ABS and commercial mortgage-backed
securities ("CMBS") detracted on the margin as yield spreads in both sectors
widened in sympathy with broader markets. Derivative positioning in the Fund is
largely focused on futures positions used to manage duration, interest rate
swaps and options for hedging, and a small allocation to currency forwards, all
of which had little impact on performance.

MARKET AND FUND OUTLOOK

Challenging year-to-date performance aside, there is the appeal of considerably
more yield in fixed income markets now versus the start of 2022, which bodes
well for improved return prospects. That being said, uncertainty over effects of
tighter monetary policy, inflation and geopolitical tensions renders the market
vulnerable to continued volatility and would-be opportunity. We believe trying
to understand the economic fallout of a tightening cycle this aggressive against
the competing crosswinds of a consumer still flush with cash, and anxious to
spend that money on services and experiences post-pandemic, is an impossible
task. Based on the Fed's eagerness to demonstrate its inflation-fighting
willpower and achieve an easing in prices, expectations are for a continued
aggressive lifting of short rates until inflationary pressure subsides,
suggesting that a recession is probable (if not technically already present).
Clouding the outlook further will be the often overlooked but impactful
repercussions of quantitative tightening, which will likely take many more
months to become apparent, in our view. With valuations having moved to
increasingly attractive, i.e., cheapened, levels amid increased volatility and
illiquidity, the portfolio team will look to capitalize on opportunities to buy
defensive, high quality bonds at attractive entry points. However, given a high
likelihood for further volatility and increased potential for a recessionary
environment, the team's investment approach remains disciplined, steeped in
relative value across sectors.

Given repriced expectations of Fed hikes and climbing Treasury yields, the
duration profile of the strategy was extended throughout the period, moving from
a relative short to a modestly long position versus the Benchmark. While
long-term rates at current levels are close, or even slightly above, fair value,
the team will be slow to add further to duration as there is the potential for a
sizable, but likely temporary, move higher in rates. Among corporates, buy
interest has increased as valuations have improved to reflect more symmetric
risk/reward profiles. Banking is a preferred sector as fundamentals remain solid
- good liquidity, peak margins, improved credit metrics, and stable leverage
ratios highlight the appeal of the space. Additions have been made in this
sector, among others, at attractive levels, and are expected to benefit returns
as yield spreads, in time, move more in line with fundamentals. Yield spreads in
the near term, however, are likely to continue widening should the economy slow,
and in that environment, additions will be made in a disciplined, incremental
fashion. At this point, high yield spreads appear not yet compensatory enough to
increase the allocation given the myriad of risks facing issuers, but further
widening of yield spread levels may present compelling opportunities to add more
exposure. Within the securitized space, high quality residential MBS, both
agency and non-agency, continue to look attractive as recent home price
appreciation provides ample cushion for homeowners and investors, even if home
prices start to level off or drop somewhat. Similarly, we believe ABS at the top
of the capital structure provides fair compensation given robust structures,
even with the possibility of recession. CMBS has the potential for significant
future volatility - specific properties should do well in the team's view, while
the broader market is likely to face challenges. As a result, allocations in
CMBS heavily favor single asset/single borrower CMBS where exposure, and the
accompanying risk, can be selectively targeted.

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)

MARKET RECAP

Page 14

--------------------------------------------------------------------------------
PORTFOLIO COMMENTARY (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST EXCHANGE-TRADED FUND VIII
ANNUAL REPORT
AUGUST 31, 2022 (UNAUDITED)

Against this backdrop of rising rates, slowing growth, continued
COVID-19-related concerns and sustained geopolitical tension, risk assets
declined during the 12-month period ended August 31, 2022 with both equity and
fixed income markets falling just over 11% for the trailing 1-year period, as
measured by the S&P 500(R) Index and the Bloomberg U.S. Aggregate Bond Index,
respectively. Further, the Aggregate Bond Index suffered the largest drawdown
since its inception during the second quarter of 2022, emphasizing the toll that
the challenging economic and financial conditions had on asset prices.
Unsurprisingly, all fixed income sectors posted negative total and excess
returns, with ABS the top performer during the period at "only" -32 bps excess
returns. Investment grade corporates fell nearly 15% over the period as rising
rates weighed on corporate spreads, while agency MBS also suffered amid the
sustained rate volatility and prospect of active Fed sales as the announcement
of tapering in late 2021 eventually gave way to the most aggressive hiking
regime in four decades. Meanwhile, Emerging Markets ("EMs") were among the worst
performers in the fixed income space as rising rates, slowing growth and the
conflict in Eastern Europe weighed on the sector, while the more levered and
more risky high yield corporate sector also severely underperformed.

PERFORMANCE ANALYSIS

The Fund fell 5.55% based on NAV and 5.31% based on market price for the
12-month period ended August 31, 2022, while the ICE BofA U.S. Dollar 3-Month
Deposit Offered Rate Average Index returned 0.72% for the same period. With
interest rates rising significantly over the period on the Fed's comments of
tapering in late 2021 and eventual announcement of forthcoming rate hikes in
early 2022, this positive duration positioning was the largest drag on the
Fund's performance. While the Fund was defensively positioned across spread
sectors - higher quality emphasis and focus on defensive sectors and positions
higher in the capital structure, i.e., first to receive cash flows - higher
yield premiums across the fixed income space weighed on performance. Corporate
credit allocations contributed early in the period, particularly the small
position in high yield, which was a top performing fixed income sector in the
third quarter of 2022, while issue selection among investment grade credit also
rewarded returns. However, as volatility picked up and yields widened in the
first half of 2022, both investment grade and high yield corporate bonds trailed
Treasuries on a duration-adjusted basis, weighing on returns. Meanwhile, a small
exposure to emerging markets debt proved to be a negative, as the asset class
was under pressure from more aggressive central bank tightening, high inflation
and slower global growth.

Finally, the emphasis on securitized products also weighed on returns.
Non-agency MBS bonds, which have generally been a steady source of incremental
return since the housing crisis, detracted during the period as broader market
volatility weighed on pricing in the first half of 2022. Nevertheless, legacy
bonds continue to exhibit attractive supply and demand fundamentals and remain
one of the most attractive areas in the fixed income space, in our opinion.
Agency MBS also underperformed during the period as the sector struggled from
continued rate volatility, aggressive Fed policy, and concern of outright sales
from the Fed's balance sheet. However, exposure to the sector is largely
achieved via To Be Announced ("TBAs") mortgage bonds, which benefitted from a
favorable yield profile supported by the Fed's sizable footprint in the space.
The small positions in ABS and CMBS detracted on the margin as yield spreads in
both sectors widened in sympathy with broader markets. Derivative positioning in
the Fund is largely focused on futures positions used to manage duration,
interest rate swaps and options for hedging, and a small allocation to currency
forwards, all of which had little impact on performance.

Page 15

--------------------------------------------------------------------------------
PORTFOLIO COMMENTARY (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST EXCHANGE-TRADED FUND VIII
ANNUAL REPORT
AUGUST 31, 2022 (UNAUDITED)

MARKET AND FUND OUTLOOK

Challenging year-to-date performance aside, there is the appeal of considerably
more yield in fixed income markets now versus the start of 2022, which bodes
well for improved return prospects. That being said, uncertainty over effects of
tighter monetary policy, inflation and geopolitical tensions renders the market
vulnerable to continued volatility and would-be opportunity. We believe trying
to understand the economic fallout of a tightening cycle this aggressive against
the competing crosswinds of a consumer still flush with cash, and anxious to
spend that money on services and experiences post-pandemic, is an impossible
task. Based on the Fed's eagerness to demonstrate its inflation-fighting
willpower and achieve an easing in prices, expectations are for a continued
aggressive lifting of short rates until inflationary pressure subsides,
suggesting that a recession is probable (if not technically already present).
Clouding the outlook further will be the often overlooked but impactful
repercussions of quantitative tightening, which will likely take many more
months to become apparent. With valuations having moved to increasingly
attractive, i.e., cheapened, levels amid increased volatility and illiquidity,
the team will look to capitalize on opportunities to buy defensive, high quality
bonds at attractive entry points. However, given a high likelihood for further
volatility and increased potential for a recessionary environment, the team's
investment approach remains disciplined, steeped in relative value across
sectors.

Given repriced expectations of Fed hikes and climbing Treasury yields, the
duration profile of the strategy was extended, moving from 1.5 years to
approximately 2.0 years. While long-term rates at current levels are close, or
even slightly above, fair value, the team will be slow to add further to
duration as there is the potential for a sizable, but likely temporary, move in
rates higher. Among corporates, buy interest has increased as valuations have
improved to reflect more symmetric risk/reward profiles. Banking is a preferred
sector as fundamentals remain solid - good liquidity, peak margins, improved
credit metrics, and stable leverage ratios highlight the appeal of the space.
Additions have been made in this sector, among others, at attractive levels, and
are expected to benefit returns as yield spreads, in time, move more in line
with fundamentals. Yield spreads are likely to continue widening, however,
should the economy slow, and in that environment additions will be made in a
disciplined, incremental fashion. At this point, high yield spreads appear not
yet compensatory enough given the myriad of risks facing issuers, though further
dislocation and rising yield premiums will provide compelling opportunities to
layer in additional exposure. Within the securitized space, high quality
residential MBS, both agency and non-agency, continue to look attractive as
recent home price appreciation provides ample cushion for homeowners and
investors, even if home prices start to level off or drop somewhat. Similarly,
we believe ABS at the top of the capital structure provides fair compensation
given robust structures, even with the possibility of recession. CMBS has the
potential for significant future volatility - specific, high-quality properties
should do well, while the broader market is likely to face challenges. As a
result, allocations in CMBS heavily favor single asset/single borrower CMBS
where exposures can be targeted rather than more broadly diversified issues.

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)

MARKET RECAP

Page 16

--------------------------------------------------------------------------------
PORTFOLIO COMMENTARY (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST EXCHANGE-TRADED FUND VIII
ANNUAL REPORT
AUGUST 31, 2022 (UNAUDITED)

Treasury yields soared, led by more policy-sensitive short rates, with the climb
in yields also accompanied by negative GDP reports. Investor sentiment, as
measured by the University of Michigan Consumer Sentiment Index, reached a
40-year low amid elevated price pressures and slowing growth, though a brief
rally in July 2022 (spurred mainly by optimism that financial conditions may
loosen as inflation came in slightly below forecast) led to an improved reading
during the summer months. Fed Chairman Jerome Powell's speech at the FOMC's
annual retreat in Jackson Hole in late August 2022 quickly dampened any ideas of
less restrictive policy, however, as he reaffirmed the committee's focus on
fighting inflation despite the potential economic pain that may ensue.

Against this backdrop of rising rates, slowing growth, continued
COVID-19-related concerns and sustained geopolitical tension, risk assets
declined during the 12-month period ended August 31, 2022 with both equity and
fixed income markets falling just over 11% for the trailing 1-year period, as
measured by the S&P 500(R) Index and the Bloomberg U.S. Aggregate Bond Index,
respectively. Further, the Aggregate Bond Index suffered the largest drawdown
since its inception during the second quarter of 2022, emphasizing the toll that
the challenging economic and financial conditions had on asset prices.
Unsurprisingly, all fixed income sectors posted negative total and excess
returns, with asset-backed securities ("ABS") the top performer during the
period at "only" -32 bps excess returns. Investment grade corporates fell nearly
15% over the period as rising rates weighed on corporate spreads, while agency
MBS also suffered amid the sustained rate volatility and prospect of active Fed
sales as the announcement of tapering in late 2021 eventually gave way to the
most aggressive hiking regime in four decades. Meanwhile, Emerging Markets
("EMs") were among the worst performers in the fixed income space as rising
rates, slowing growth and the conflict in Eastern Europe weighed on the sector,
while the more levered and more risky high yield corporate sector also severely
underperformed.

PERFORMANCE ANALYSIS

The Fund fell 10.87% based on NAV and 11.22% based on market price for the
12-month period ended August 31, 2022, while the Bloomberg U.S. Mortgage-Backed
Securities Index (the "Index") fell by 9.73%. With the agency MBS sector lagging
duration-matched Treasuries by 142 bps during the year, the Fund benefitted from
the relative underweight to the space, though low coupon 30-year TBAs, which
constitute a bulk of the Fund's agency MBS holdings, were among the bottom
performers in the Index. Though these holdings largely offset the benefit from
being underweight the sector, the surge in rates during the period has led to
fully extended durations and near-zero negative convexity among the low coupon
cohort, potentially presenting greater upside optionality looking forward.
Meanwhile, the off-Index allocation to non-agency MBS weighed on performance as
the sector experienced a downward repricing in 2022 due to broader macro
uncertainty and rate volatility, though favorable issue selection among select
credit risk transfer bonds did provide a bright spot among the Fund's non-agency
MBS allocation. Elsewhere in the securitized space, CMBS and ABS holdings
detracted on the margin as both sectors posted negative excess and total returns
during the year in sympathy with the broader market downturn. Finally, returns
benefitted from the Fund's duration positioning, which was shorter relative to
the Index; with the Fund shorter than the Index through the end of the first
quarter of 2022. The Fund was insulated from the worst of the effects of rising
rates as the Fed initiated their cycle of interest rate hikes, before gradually
extending the position in a disciplined fashion alongside the continued climb in
Treasury yields and evolving value proposition. Derivative positioning in the
Fund is largely focused on futures positions used to manage duration, with a
small allocation to currency forwards which had little impact on performance.

MARKET AND FUND OUTLOOK

Challenging year-to-date performance aside, there is the appeal of considerably
more yield in fixed income markets now versus the start of 2022, which bodes
well for improved return prospects. That being said, uncertainty over effects of
tighter monetary policy, inflation and geopolitical tensions renders the market
vulnerable to continued volatility and would-be opportunity. We believe trying
to understand the economic fallout of a tightening cycle this aggressive against
the competing crosswinds of a consumer still flush with cash, and anxious to
spend that money on services and experiences post-pandemic, is an impossible
task. Based on the Fed's eagerness to demonstrate its inflation-fighting
willpower and achieve an easing in prices, expectations are for a continued
aggressive lifting of short rates until inflationary pressure subsides,
suggesting that a recession is probable (if not technically already present).
Clouding the outlook further will be the often overlooked but impactful
repercussions of quantitative tightening, which will likely take many more
months to become apparent. With valuations having moved to increasingly
attractive, i.e., cheapened, levels amid increased volatility and illiquidity,
the team will look to capitalize on opportunities to buy defensive, high quality
bonds at attractive entry points. However, given a high likelihood for further
volatility and increased potential for a recessionary environment, the team's
investment approach remains disciplined, steeped in relative value across
sectors.

Page 17

--------------------------------------------------------------------------------
PORTFOLIO COMMENTARY (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST EXCHANGE-TRADED FUND VIII
ANNUAL REPORT
AUGUST 31, 2022 (UNAUDITED)

Given repriced expectations of Fed hikes and climbing Treasury yields, the
duration profile of the strategy was extended, moving from a relative short to a
modestly long position versus the Index. While long-term rates at current levels
are close, or even slightly above, fair value, the team will be slow to add
further to duration as there is the potential for a sizable, but likely
temporary, move in rates higher. Within the securitized space, high quality
residential MBS, both agency and non-agency, continue to look attractive as
recent home price appreciation provides ample cushion for homeowners and
investors, even if home prices start to drop somewhat. Current agency MBS
positioning favors lower coupon issues and TBAs, though up-in-coupon issues and
specified pools with favorable duration profiles are becoming increasingly
emphasized. Meanwhile, non-agency MBS continues to offer opportunities in deeply
discounted senior legacy non-agency MBS bonds with solid, stable fundamentals,
while more recently issued 2.0 deals backed by re-performing loans are also
appealing. Despite the current challenges, mortgage credit as a whole remains
attractive due to recent home price appreciation, declining loan-to-value ratios
and strict underwriting standards and is expected to be significantly additive
to returns in coming periods. Away from residential MBS, we believe ABS at the
top of the capital structure provides fair compensation given robust structures,
even with the possibility of recession. CMBS has the potential for significant
future volatility - specific properties should do well, while the broader market
is likely to face challenges. As a result, allocations in CMBS heavily favor
non-agency single asset/single borrower CMBS where exposure, and the
accompanying risk, can be selectively targeted.

FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)

MARKET RECAP

EM sovereign spreads are approximately 500 bps through September 14, 2022,
around 150 bps wider than mid-September 2021. EM corporate spreads are
approximately 350 bps, around 90 bps wider. The period has been characterized by
risk-off sentiment driven by a number of factors, including rising inflation and
a hawkish Fed, the Russia-Ukraine war and the subsequent energy crisis in
Europe, and the implementation of the zero-COVID-19 policy in China, all of
which have led to global growth concerns.

PERFORMANCE ANALYSIS

For the 12-month period ended August 31, 2022, the Fund returned -18.52% based
on NAV and -18.49% based on market price versus -20.82% for the JP Morgan
Emerging Market Bond Index Global Diversified (the "Benchmark").

Relative outperformance of 230 bps for the same period was primarily driven by
underweight positioning in Russia, as tensions with Ukraine escalated into war
in February 2022. In addition, the Fund's lack of exposure to Belarus, where
bonds sold off due to its role in facilitating the invasion of Ukraine in
February 2022, also contributed to relative outperformance.

Security selection in Saudi Arabia, particularly oil & gas quasi-sovereign
exposure, and underweight positioning in Ghana, also contributed to relative
outperformance.

On the other hand, the exposure in the Fund's portfolio to high yield China
property companies hurt relative performance, all of which were exited in 2021.
Underweight positioning to higher quality China in 2022 hurt relative
performance given its shorter duration profile relative to the Benchmark.
However, the Fund remains underweight China given continued concerns about the
property sector and the impact of its zero-COVID-19 policy on growth.

MARKET AND FUND OUTLOOK

Uncertainty has been the defining characteristic of the global economic,
geopolitical, and market environment throughout the 12-month period ended August
31, 2022 and it remains so today, as reflected in rising Treasury yields, a
stronger U.S. Dollar and the constant tug-of-war between the market's
expectations of growth versus inflation. While many of these uncertainties have
yet to be resolved, a fair bit of risk has been priced into markets and we
believe that inflation, one of the more important drivers of risk appetite, may
have potentially peaked, while not declining as quickly as markets expected.
U.S. inflation data for the next several months, we believe, will play a
significant role in shaping the medium-term outlook for markets.

While the Fed's interest rate hike cycle will likely include an additional
150-200 bps of hikes over the coming months, the reduction of uncertainty
regarding where the terminal rate ends up and what path the Fed takes to get
there will go a long way in removing one of the major headwinds plaguing risk
assets in recent months, in our view. To be clear, this reduction in uncertainty
may take anywhere from another few weeks to another few months to materialize,
but we believe this process will coincide with a bottoming in the performance of
risk assets, including EM credit.

Page 18

--------------------------------------------------------------------------------
PORTFOLIO COMMENTARY (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST EXCHANGE-TRADED FUND VIII
ANNUAL REPORT
AUGUST 31, 2022 (UNAUDITED)

There do, of course, remain risks to the global economy beyond the U.S. and we
are monitoring these closely. Recent data confirms our assessment that the
Chinese economy likely bottomed in the second quarter of 2022. However, further
downside risk to the property sector and its potential impact on the banking
system, together with the impact of continued strict zero-COVID-19 measures
leading into October's Party Congress, have the potential to drag down Chinese
growth expectations further. While the central bank has cut interest rates and
the government has unveiled more fiscal stimulus, transmission remains hampered
by weak credit demand.

In addition, record-high gas prices have dramatically increased European
inflation and slowed economic activity. At the end of August 2022, Russia,
citing maintenance needs, switched off its largest pipeline, Nord Stream 1, to
Europe, but this is now an open-ended shutdown. The European Union is taking
various steps to cushion the inflationary and recessionary risk of the gas
crisis, which will likely lead to higher fiscal costs that have to be funded.
Given all of the near-term uncertainties, we believe an underweight to the
European region remains prudent.

While there are significant risks in the market, we do believe that valuations
have come a long way to reflect these risks and that market sentiment may
accordingly be too bearish. Spreads on the Benchmark are approximately 500 bps,
or approximately 200 bps wide to long term averages. Further, the economic
growth differential between EMs and Developed Markets ("DMs") is expected to
widen in 2023 (1.4% in DMs versus 3.9% in EMs according to the International
Monetary Fund), which we believe will be supportive for EM assets.

As of the end of August 2022, the Fund was overweight Middle East/Africa and
Latin America, to take advantage of a supportive commodity backdrop and
attractive valuations relative to peers. The Fund's portfolio is underweight
Asia and Europe, on a combination of growth concerns and valuations. Duration is
slightly long relative to the Benchmark based on our view that the bulk of the
repricing in U.S. rates has occurred.

The Fund is slightly overweight investment grade relative to high yield ("HY").
In the coming months, as we develop a clearer picture of the risks ahead, we
would look to take advantage of dislocations in high yield and add lower quality
credits, as we believe markets are underestimating both the fundamental strength
of the asset class (EM HY corporate net leverage has, for example, fallen to its
lowest level since 2015) and relative valuations (EM HY spreads trade +135 bps
over US HY, a 97th percentile reading for this relationship since 2010).

Page 19

FIRST TRUST EXCHANGE-TRADED FUND VIII
UNDERSTANDING YOUR FUND EXPENSES
AUGUST 31, 2022 (UNAUDITED)

As a shareholder of First Trust TCW Opportunistic Fixed Income ETF, First Trust
TCW Unconstrained Plus Bond ETF, First Trust TCW Securitized Plus ETF or First
Trust TCW Emerging Markets Debt ETF (each a "Fund" and collectively, the
"Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing
costs, including management fees, distribution and/or service (12b-1) fees, if
any, and other Fund expenses. This Example is intended to help you understand
your ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended August 31, 2022.

ACTUAL EXPENSES

The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.

Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.

------------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
MARCH 1, 2022 AUGUST 31, 2022 PERIOD (a) PERIOD (b)
------------------------------------------------------------------------------------------------------------------------------

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
Actual $1,000.00 $ 908.90 0.55% $2.65
Hypothetical (5% return before expenses) $1,000.00 $1,022.43 0.55% $2.80

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
Actual $1,000.00 $ 963.20 0.75% $3.71
Hypothetical (5% return before expenses) $1,000.00 $1,021.42 0.75% $3.82

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
Actual $1,000.00 $ 916.50 0.65% $3.14
Hypothetical (5% return before expenses) $1,000.00 $1,021.93 0.65% $3.31

FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
Actual $1,000.00 $ 902.40 0.85% $4.08
Hypothetical (5% return before expenses) $1,000.00 $1,020.92 0.85% $4.33

(a) These expense ratios reflect an expense waiver. See Note 3 in the Notes to
Financial Statements.

(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (March 1,
2022 through August 31, 2022), multiplied by 184/365 (to reflect the
six-month period).

Page 20

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS
AUGUST 31, 2022

PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES -- 33.1%

COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.2%
Federal Home Loan Mortgage Corporation
$ 274,036 Series 2017-4656, Class EZ....................................... 4.00% 02/15/47 $ 267,852
Federal National Mortgage Association
1,877,819 Series 2012-20, Class ZT......................................... 3.50% 03/25/42 1,780,924
2,020,765 Series 2012-84, Class VZ......................................... 3.50% 08/25/42 1,942,164
250,940 Series 2018-38, Class PA......................................... 3.50% 06/25/47 247,725
686,966 Series 2018-43, Class CT......................................... 3.00% 06/25/48 654,629
196,821 Series 2018-86, Class JA......................................... 4.00% 05/25/47 194,780
86,435 Series 2018-94, Class KD......................................... 3.50% 12/25/48 83,933
102,707 Series 2019-1, Class KP.......................................... 3.25% 02/25/49 98,043
74,150 Series 2019-20, Class BA......................................... 3.50% 02/25/48 73,353
50,763 Series 2019-52, Class PA......................................... 3.00% 09/25/49 48,216
Government National Mortgage Association
181,008 Series 2018-115, Class DE........................................ 3.50% 08/20/48 177,805
212,496 Series 2018-124, Class NW........................................ 3.50% 09/20/48 209,551
359,290 Series 2019-12, Class QA......................................... 3.50% 09/20/48 350,789
30,779 Series 2019-71, Class PT......................................... 3.00% 06/20/49 29,473
391,040 Series 2019-119, Class JE........................................ 3.00% 09/20/49 372,414
--------------
6,531,651
--------------

PASS-THROUGH SECURITIES -- 32.9%
Federal Home Loan Mortgage Corporation
60,612 Pool C91981...................................................... 3.00% 02/01/38 58,169
54,636 Pool G07961...................................................... 3.50% 03/01/45 53,347
52,409 Pool G08692...................................................... 3.00% 02/01/46 49,675
1,516,961 Pool G08715...................................................... 3.00% 08/01/46 1,437,211
29,992 Pool G08721...................................................... 3.00% 09/01/46 28,402
345,167 Pool G08726...................................................... 3.00% 10/01/46 327,448
832,875 Pool G08732...................................................... 3.00% 11/01/46 784,790
109,838 Pool G08738...................................................... 3.50% 12/01/46 106,704
218,243 Pool G08741...................................................... 3.00% 01/01/47 206,229
152,438 Pool G08747...................................................... 3.00% 02/01/47 143,980
106,995 Pool G08748...................................................... 3.50% 02/01/47 104,140
496,224 Pool G08750...................................................... 3.00% 03/01/47 468,486
116,525 Pool G08766...................................................... 3.50% 06/01/47 113,201
309,604 Pool G08788...................................................... 3.50% 11/01/47 300,449
1,024,504 Pool G08792...................................................... 3.50% 12/01/47 994,985
139,503 Pool G08800...................................................... 3.50% 02/01/48 135,208
211,773 Pool G08816...................................................... 3.50% 06/01/48 204,970
59,232 Pool G08833...................................................... 5.00% 07/01/48 60,788
11,646 Pool G08838...................................................... 5.00% 09/01/48 11,946
199,193 Pool G08843...................................................... 4.50% 10/01/48 201,213
45,565 Pool G08844...................................................... 5.00% 10/01/48 46,733
125,953 Pool G08849...................................................... 5.00% 11/01/48 129,086
465,829 Pool G16085...................................................... 2.50% 02/01/32 447,553
278,852 Pool G16350...................................................... 2.50% 10/01/32 267,903
334,428 Pool G16396...................................................... 3.50% 02/01/33 330,023
968,025 Pool G16524...................................................... 3.50% 05/01/33 955,158
107,963 Pool G18670...................................................... 3.00% 12/01/32 105,170
31,408 Pool G18691...................................................... 3.00% 06/01/33 30,595
88,566 Pool G18713...................................................... 3.50% 11/01/33 87,388

See Notes to Financial Statements Page 21

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

PASS-THROUGH SECURITIES (CONTINUED)
Federal Home Loan Mortgage Corporation (Continued)
$ 1,348,899 Pool G60038...................................................... 3.50% 01/01/44 $ 1,317,108
362,172 Pool G60080...................................................... 3.50% 06/01/45 353,178
741,603 Pool G60344...................................................... 4.00% 12/01/45 744,039
235,762 Pool G60440...................................................... 3.50% 03/01/46 229,470
729,930 Pool G60582...................................................... 3.50% 05/01/46 709,241
695,178 Pool G60658...................................................... 3.50% 07/01/46 683,509
317,437 Pool G61556...................................................... 3.50% 08/01/48 308,222
2,151,785 Pool G61748...................................................... 3.50% 11/01/48 2,088,116
715,888 Pool G67700...................................................... 3.50% 08/01/46 697,858
1,612,620 Pool G67703...................................................... 3.50% 04/01/47 1,569,569
5,940,884 Pool G67706...................................................... 3.50% 12/01/47 5,782,275
1,464,439 Pool G67707...................................................... 3.50% 01/01/48 1,431,726
7,822,604 Pool G67708...................................................... 3.50% 03/01/48 7,600,707
1,486,990 Pool G67709...................................................... 3.50% 03/01/48 1,448,517
1,158,081 Pool G67710...................................................... 3.50% 03/01/48 1,123,825
1,704,619 Pool G67714...................................................... 4.00% 07/01/48 1,697,571
2,319,772 Pool G67717...................................................... 4.00% 11/01/48 2,310,180
3,613,699 Pool G67718...................................................... 4.00% 01/01/49 3,596,541
123,773 Pool Q44452...................................................... 3.00% 11/01/46 116,933
223,064 Pool Q50135...................................................... 3.50% 08/01/47 216,653
8,937,678 Pool QA7837...................................................... 3.50% 03/01/50 8,627,406
15,422,564 Pool QE0312...................................................... 2.00% 04/01/52 13,329,152
22,537,285 Pool QE0521...................................................... 2.50% 04/01/52 20,185,967
14,662,090 Pool RA3078...................................................... 3.00% 07/01/50 13,703,511
412,373 Pool RE6029...................................................... 3.00% 02/01/50 380,282
13,930,699 Pool SD0231...................................................... 3.00% 01/01/50 13,016,673
3,858,381 Pool SD7511...................................................... 3.50% 01/01/50 3,719,640
11,987,513 Pool SD7513...................................................... 3.50% 04/01/50 11,556,583
6,992,456 Pool SD7518...................................................... 3.00% 06/01/50 6,541,352
15,249,051 Pool SD8189...................................................... 2.50% 01/01/52 13,654,731
19,124,376 Pool SD8194...................................................... 2.50% 02/01/52 17,125,744
23,143,108 Pool SD8205...................................................... 2.50% 04/01/52 20,724,374
19,737,692 Pool SD8212...................................................... 2.50% 05/01/52 17,674,848
271,364 Pool U90772...................................................... 3.50% 01/01/43 264,592
328,691 Pool U99114...................................................... 3.50% 02/01/44 320,502
674,182 Pool ZA4692...................................................... 3.50% 06/01/46 654,321
326,994 Pool ZM0063...................................................... 4.00% 08/01/45 326,271
15,167,985 Pool ZM1779...................................................... 3.00% 09/01/46 14,395,960
3,260,700 Pool ZS4667...................................................... 3.00% 06/01/46 3,089,733
5,352,277 Pool ZS4688...................................................... 3.00% 11/01/46 5,038,467
8,775,426 Pool ZS4735...................................................... 3.50% 09/01/47 8,509,824
328,905 Pool ZS8602...................................................... 3.00% 03/01/31 322,135
629,949 Pool ZS9844...................................................... 3.50% 07/01/46 611,393
1,774,927 Pool ZT0277...................................................... 3.50% 10/01/46 1,722,717
790,755 Pool ZT0531...................................................... 3.50% 04/01/47 768,924
760,174 Pool ZT0536...................................................... 3.50% 03/01/48 737,918
2,413,688 Pool ZT0537...................................................... 3.50% 03/01/48 2,349,036
422,157 Pool ZT0542...................................................... 4.00% 07/01/48 420,023
93,034 Pool ZT1403...................................................... 3.50% 11/01/33 91,732
1,194,274 Pool ZT1703...................................................... 4.00% 01/01/49 1,187,505

Page 22 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association
$ 2,593,540 Pool AL8825...................................................... 3.50% 06/01/46 $ 2,517,962
107,676 Pool AM5673...................................................... 3.65% 04/01/23 107,544
114,115 Pool AN2786...................................................... 2.76% 09/01/36 101,553
1,093,936 Pool AS0225...................................................... 4.00% 08/01/43 1,093,818
1,389,912 Pool AS3134...................................................... 3.50% 08/01/44 1,355,923
322,056 Pool AS6620...................................................... 3.50% 02/01/46 312,600
104,272 Pool AS9334...................................................... 3.00% 03/01/32 101,483
79,800 Pool AS9749...................................................... 4.00% 06/01/47 79,419
81,786 Pool BD7081...................................................... 4.00% 03/01/47 81,255
6,237,939 Pool BE3774...................................................... 4.00% 07/01/47 6,207,495
801,941 Pool BJ2692...................................................... 3.50% 04/01/48 775,311
1,020,720 Pool BM1903...................................................... 3.50% 08/01/47 992,628
266,651 Pool BM2000...................................................... 3.50% 05/01/47 259,956
716,205 Pool BM3260...................................................... 3.50% 01/01/48 694,172
400,117 Pool BM4299...................................................... 3.00% 03/01/30 393,473
364,231 Pool BM4304...................................................... 3.00% 02/01/30 358,476
843,408 Pool BM4472...................................................... 3.50% 07/01/48 817,799
1,785,475 Pool BM5585...................................................... 3.00% 11/01/48 1,679,658
14,068,036 Pool BN7755...................................................... 3.00% 09/01/49 13,132,389
29,483,655 Pool BQ6913...................................................... 2.00% 12/01/51 25,493,631
48,876,159 Pool BQ7006...................................................... 2.00% 01/01/52 42,256,745
9,557,187 Pool BV8515...................................................... 3.00% 05/01/52 8,864,529
1,023,358 Pool CA0854...................................................... 3.50% 12/01/47 992,036
484,758 Pool CA0907...................................................... 3.50% 12/01/47 469,921
400,055 Pool CA0996...................................................... 3.50% 01/01/48 387,722
2,998,885 Pool CA1182...................................................... 3.50% 02/01/48 2,905,851
508,702 Pool CA1187...................................................... 3.50% 02/01/48 494,296
353,093 Pool CA1710...................................................... 4.50% 05/01/48 356,117
228,818 Pool CA1711...................................................... 4.50% 05/01/48 230,708
135,962 Pool CA2208...................................................... 4.50% 08/01/48 137,024
492,903 Pool CA2327...................................................... 4.00% 09/01/48 491,632
3,196,854 Pool CA3633...................................................... 3.50% 06/01/49 3,084,613
13,032,798 Pool CA4534...................................................... 3.00% 11/01/49 12,173,478
4,365,283 Pool FM2870...................................................... 3.00% 03/01/50 4,095,232
7,459,173 Pool FM5397...................................................... 3.00% 12/01/50 6,979,700
29,884,062 Pool FS1598...................................................... 2.00% 04/01/52 25,835,443
242,253 Pool MA1146...................................................... 4.00% 08/01/42 241,639
431,100 Pool MA1373...................................................... 3.50% 03/01/43 419,924
447,860 Pool MA2077...................................................... 3.50% 11/01/34 444,661
117,507 Pool MA2145...................................................... 4.00% 01/01/45 117,494
489,726 Pool MA2670...................................................... 3.00% 07/01/46 462,778
469,225 Pool MA2806...................................................... 3.00% 11/01/46 443,671
13,206 Pool MA2896...................................................... 3.50% 02/01/47 12,819
428,722 Pool MA3057...................................................... 3.50% 07/01/47 416,298
193,810 Pool MA3088...................................................... 4.00% 08/01/47 192,477
447,704 Pool MA3210...................................................... 3.50% 12/01/47 432,982
5,015,698 Pool MA3238...................................................... 3.50% 01/01/48 4,858,669
432,153 Pool MA3239...................................................... 4.00% 01/01/48 429,712
210,125 Pool MA3276...................................................... 3.50% 02/01/48 203,210
607,669 Pool MA3332...................................................... 3.50% 04/01/48 586,837

See Notes to Financial Statements Page 23

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association (Continued)
$ 165,888 Pool MA3336...................................................... 3.50% 04/01/38 $ 161,946
114,332 Pool MA3410...................................................... 3.50% 07/01/33 112,707
154,344 Pool MA3537...................................................... 4.50% 12/01/48 155,758
614,953 Pool MA3846...................................................... 3.00% 11/01/49 570,469
9,697,946 Pool MA4093...................................................... 2.00% 08/01/40 8,635,968
6,709,289 Pool MA4128...................................................... 2.00% 09/01/40 5,974,537
7,437,564 Pool MA4152...................................................... 2.00% 10/01/40 6,622,397
4,002,848 Pool MA4176...................................................... 2.00% 11/01/40 3,563,898
14,236,348 Pool MA4364...................................................... 2.00% 06/01/41 12,620,251
19,316,171 Pool MA4548...................................................... 2.50% 02/01/52 17,297,478
48,750,000 Pool TBA (a)..................................................... 3.50% 09/15/52 46,552,247
46,525,000 Pool TBA (a)..................................................... 4.00% 09/15/52 45,492,727
60,100,000 Pool TBA (a)..................................................... 4.50% 09/15/52 59,858,033
168,900,000 Pool TBA (a)..................................................... 2.00% 10/15/52 145,730,116
174,125,000 Pool TBA (a)..................................................... 2.50% 10/15/52 155,758,725
103,950,000 Pool TBA (a)..................................................... 3.00% 10/15/52 96,314,732
49,275,000 Pool TBA (a)..................................................... 4.50% 10/15/52 49,016,946
Government National Mortgage Association
191,597 Pool MA1157...................................................... 3.50% 07/20/43 188,250
567,723 Pool MA2825...................................................... 3.00% 05/20/45 542,768
191,801 Pool MA3521...................................................... 3.50% 03/20/46 187,877
8,119,778 Pool MA3662...................................................... 3.00% 05/20/46 7,765,867
734,405 Pool MA3663...................................................... 3.50% 05/20/46 719,553
495,582 Pool MA3735...................................................... 3.00% 06/20/46 473,641
10,092,648 Pool MA3937...................................................... 3.50% 09/20/46 9,886,711
139,691 Pool MA4069...................................................... 3.50% 11/20/46 136,422
80,399 Pool MA4195...................................................... 3.00% 01/20/47 76,865
95,896 Pool MA4196...................................................... 3.50% 01/20/47 94,046
481,106 Pool MA4261...................................................... 3.00% 02/20/47 459,984
123,516 Pool MA4262...................................................... 3.50% 02/20/47 121,000
3,138,976 Pool MA4322...................................................... 4.00% 03/20/47 3,135,433
3,296,848 Pool MA4382...................................................... 3.50% 04/20/47 3,220,608
39,301 Pool MA4453...................................................... 4.50% 05/20/47 40,266
41,510 Pool MA4586...................................................... 3.50% 07/20/47 40,608
272,835 Pool MA4588...................................................... 4.50% 07/20/47 279,215
726,244 Pool MA4651...................................................... 3.00% 08/20/47 692,630
1,054,147 Pool MA4652...................................................... 3.50% 08/20/47 1,030,889
365,688 Pool MA4719...................................................... 3.50% 09/20/47 359,091
44,714 Pool MA4722...................................................... 5.00% 09/20/47 46,117
36,338 Pool MA4777...................................................... 3.00% 10/20/47 34,576
915,265 Pool MA4778...................................................... 3.50% 10/20/47 894,549
871,232 Pool MA4836...................................................... 3.00% 11/20/47 830,282
904,933 Pool MA4837...................................................... 3.50% 11/20/47 883,487
302,600 Pool MA4838...................................................... 4.00% 11/20/47 302,442
50,281 Pool MA4901...................................................... 4.00% 12/20/47 50,255
232,973 Pool MA4961...................................................... 3.00% 01/20/48 221,140
314,377 Pool MA4962...................................................... 3.50% 01/20/48 306,683
456,193 Pool MA4963...................................................... 4.00% 01/20/48 455,688
231,710 Pool MA5078...................................................... 4.00% 03/20/48 231,589

Page 24 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

PASS-THROUGH SECURITIES (CONTINUED)
Government National Mortgage Association (Continued)
$ 630,368 Pool MA5136...................................................... 3.50% 04/20/48 $ 615,409
484,869 Pool MA5399...................................................... 4.50% 08/20/48 490,592
191,327 Pool MA5466...................................................... 4.00% 09/20/48 190,409
51,243 Pool MA5467...................................................... 4.50% 09/20/48 51,818
137,211 Pool MA5597...................................................... 5.00% 11/20/48 140,183
157,968 Pool MA5976...................................................... 3.50% 06/20/49 150,652
39,950 Pool MA6030...................................................... 3.50% 07/20/49 38,043
211,753 Pool MA6080...................................................... 3.00% 08/20/49 198,474
64,950,000 Pool TBA (a)..................................................... 2.50% 09/15/52 59,304,932
--------------
1,168,170,246
--------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES........................................ 1,174,701,897
(Cost $1,220,771,466) --------------

U.S. GOVERNMENT BONDS AND NOTES -- 23.2%

204,074,000 U.S. Treasury Bond.................................................. 2.00% 11/15/41 159,373,025
90,055,000 U.S. Treasury Bond.................................................. 2.38% 02/15/42 75,013,001
55,285,000 U.S. Treasury Bond.................................................. 3.00% 08/15/52 52,615,771
6,687,051 U.S. Treasury Inflation Indexed Bond (b)............................ 0.13% 02/15/52 5,264,745
76,340,000 U.S. Treasury Note.................................................. 3.00% 07/31/24 75,710,791
95,475,000 U.S. Treasury Note.................................................. 3.25% 08/31/24 95,116,969
51,308,000 U.S. Treasury Note.................................................. 3.13% 08/15/25 50,826,987
33,435,000 U.S. Treasury Note.................................................. 3.25% 06/30/27 33,334,434
107,275,000 U.S. Treasury Note.................................................. 2.75% 07/31/27 104,580,553
160,065,000 U.S. Treasury Note.................................................. 3.13% 08/31/27 158,914,533
14,535,000 U.S. Treasury Note.................................................. 2.75% 08/15/32 14,064,884
--------------
TOTAL U.S. GOVERNMENT BONDS AND NOTES.......................................................... 824,815,693
(Cost $860,340,168) --------------

CORPORATE BONDS AND NOTES -- 23.0%

AEROSPACE/DEFENSE -- 0.4%
3,208,000 BAE Systems Holdings, Inc. (c)...................................... 3.85% 12/15/25 3,113,087
8,500,000 Boeing (The) Co..................................................... 1.43% 02/04/24 8,155,320
1,610,000 Boeing (The) Co..................................................... 4.88% 05/01/25 1,616,021
--------------
12,884,428
--------------

AGRICULTURE -- 0.5%
3,715,000 BAT Capital Corp.................................................... 3.56% 08/15/27 3,420,193
1,400,000 BAT Capital Corp.................................................... 2.73% 03/25/31 1,122,283
4,530,000 BAT Capital Corp.................................................... 4.39% 08/15/37 3,600,692
1,855,000 BAT Capital Corp.................................................... 4.54% 08/15/47 1,359,991
2,500,000 BAT Capital Corp.................................................... 5.65% 03/16/52 2,130,675
4,250,000 Reynolds American, Inc.............................................. 5.70% 08/15/35 3,938,707
3,735,000 Reynolds American, Inc.............................................. 5.85% 08/15/45 3,216,763
--------------
18,789,304
--------------

AIRLINES -- 0.4%
900,438 American Airlines Pass-Through Trust, Series 2014-1, Class A........ 3.70% 10/01/26 772,061
107,368 American Airlines Pass-Through Trust, Series 2015-2, Class AA....... 3.60% 09/22/27 98,352
3,571,897 American Airlines Pass-Through Trust, Series 2016-1, Class AA....... 3.58% 01/15/28 3,229,274
4,402,061 Delta Air Lines Pass-Through Trust, Series 2020-1, Class AA......... 2.00% 06/10/28 3,826,252

See Notes to Financial Statements Page 25

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

AIRLINES (CONTINUED)
$ 8,116,601 JetBlue Pass-Through Trust, Series 2020-1, Class A.................. 4.00% 11/15/32 $ 7,410,284
374,230 US Airways Pass-Through Trust, Series 2012-1, Class A............... 5.90% 10/01/24 367,115
--------------
15,703,338
--------------

BANKS -- 7.2%
4,565,000 Bank of America Corp. (d)........................................... 3.00% 12/20/23 4,548,957
9,965,000 Bank of America Corp. (d)........................................... 3.37% 01/23/26 9,643,803
325,000 Bank of America Corp. (d)........................................... 1.73% 07/22/27 288,913
4,765,000 Bank of America Corp. (d)........................................... 2.69% 04/22/32 3,968,526
3,165,000 Bank of America Corp. (d)........................................... 2.57% 10/20/32 2,596,288
1,075,000 Bank of America Corp. (d)........................................... 2.97% 02/04/33 906,416
18,465,000 Bank of America Corp., Series N (d)................................. 1.66% 03/11/27 16,575,674
1,300,000 Bank of America Corp., Series N (d)................................. 2.65% 03/11/32 1,081,478
1,500,000 Bank of America Corp., Medium-Term Note (d)......................... 1.32% 06/19/26 1,366,053
1,345,000 Bank of America Corp., Medium-Term Note (d)......................... 3.97% 03/05/29 1,276,460
11,320,000 Bank of America Corp., Medium-Term Note (d)......................... 2.09% 06/14/29 9,650,326
2,839,000 Bank of America Corp., Medium-Term Note (d)......................... 3.97% 02/07/30 2,671,078
4,060,000 Bank of America Corp., Medium-Term Note (d)......................... 1.92% 10/24/31 3,221,990
2,180,000 Citigroup, Inc. (d)................................................. 3.35% 04/24/25 2,138,572
2,375,000 Citigroup, Inc. (d)................................................. 3.52% 10/27/28 2,209,379
4,110,000 Citigroup, Inc. (d)................................................. 2.98% 11/05/30 3,595,865
2,000,000 Citigroup, Inc. (d)................................................. 2.67% 01/29/31 1,692,490
1,670,000 Citigroup, Inc. (d)................................................. 4.41% 03/31/31 1,594,960
6,040,000 Citigroup, Inc. (d)................................................. 2.57% 06/03/31 5,066,577
720,000 Citigroup, Inc. (d)................................................. 2.56% 05/01/32 594,697
13,365,000 Citigroup, Inc. (d)................................................. 3.06% 01/25/33 11,334,240
5,140,000 Goldman Sachs Group (The), Inc...................................... 3.20% 02/23/23 5,131,918
10,000,000 Goldman Sachs Group (The), Inc...................................... 1.22% 12/06/23 9,662,156
1,995,000 Goldman Sachs Group (The), Inc. (d)................................. 0.93% 10/21/24 1,910,771
950,000 Goldman Sachs Group (The), Inc. (d)................................. 3.27% 09/29/25 926,080
9,860,000 Goldman Sachs Group (The), Inc. (d)................................. 1.43% 03/09/27 8,798,684
9,105,000 Goldman Sachs Group (The), Inc. (d)................................. 1.54% 09/10/27 8,020,861
1,345,000 Goldman Sachs Group (The), Inc. (d)................................. 1.99% 01/27/32 1,067,103
7,710,000 Goldman Sachs Group (The), Inc. (d)................................. 2.38% 07/21/32 6,262,741
6,060,000 Goldman Sachs Group (The), Inc. (d)................................. 2.65% 10/21/32 5,005,536
13,465,000 JPMorgan Chase & Co. (d)............................................ 0.97% 06/23/25 12,625,632
8,015,000 JPMorgan Chase & Co. (d)............................................ 1.56% 12/10/25 7,490,982
1,895,000 JPMorgan Chase & Co. (d)............................................ 2.01% 03/13/26 1,778,776
2,585,000 JPMorgan Chase & Co. (d)............................................ 3.96% 01/29/27 2,519,346
10,455,000 JPMorgan Chase & Co. (d)............................................ 1.58% 04/22/27 9,344,899
2,625,000 JPMorgan Chase & Co. (d)............................................ 2.74% 10/15/30 2,279,869
8,025,000 JPMorgan Chase & Co. (d)............................................ 2.58% 04/22/32 6,652,559
4,790,000 JPMorgan Chase & Co. (d)............................................ 2.55% 11/08/32 3,952,822
495,000 Morgan Stanley (d).................................................. 0.99% 12/10/26 438,850
2,785,000 Morgan Stanley (d).................................................. 5.30% 04/20/37 2,672,392
7,135,000 Morgan Stanley, Global Medium-Term Note (d)......................... 1.51% 07/20/27 6,329,703
2,125,000 Morgan Stanley, Global Medium-Term Note (d)......................... 2.24% 07/21/32 1,720,297
13,355,000 Morgan Stanley, Medium-Term Note (d)................................ 1.16% 10/21/25 12,410,520
8,125,000 Morgan Stanley, Medium-Term Note (d)................................ 1.93% 04/28/32 6,457,829
3,200,000 Morgan Stanley, Medium-Term Note (d)................................ 2.51% 10/20/32 2,630,235
4,385,000 Wells Fargo & Co. (d)............................................... 2.19% 04/30/26 4,107,798

Page 26 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

BANKS (CONTINUED)
$ 10,185,000 Wells Fargo & Co., Medium-Term Note (d)............................. 3.53% 03/24/28 $ 9,644,712
9,444,000 Wells Fargo & Co., Medium-Term Note (d)............................. 2.39% 06/02/28 8,477,878
5,790,000 Wells Fargo & Co., Medium-Term Note (d)............................. 2.88% 10/30/30 5,094,447
15,370,000 Wells Fargo & Co., Medium-Term Note (d)............................. 3.35% 03/02/33 13,525,679
3,350,000 Wells Fargo & Co., Medium-Term Note (d)............................. 4.90% 07/25/33 3,301,410
--------------
256,265,227
--------------

BEVERAGES -- 0.2%
2,700,000 Anheuser-Busch Cos. LLC / Anheuser-Busch InBev
Worldwide, Inc................................................... 4.90% 02/01/46 2,574,614
1,200,000 Anheuser-Busch InBev Worldwide, Inc................................. 4.60% 04/15/48 1,093,779
200,000 Anheuser-Busch InBev Worldwide, Inc................................. 4.44% 10/06/48 178,649
4,145,000 Constellation Brands, Inc........................................... 4.75% 05/09/32 4,100,524
--------------
7,947,566
--------------

BIOTECHNOLOGY -- 0.1%
1,412,000 Amgen, Inc.......................................................... 4.40% 05/01/45 1,276,614
3,010,000 Regeneron Pharmaceuticals, Inc...................................... 1.75% 09/15/30 2,390,300
--------------
3,666,914
--------------

CHEMICALS -- 0.2%
4,758,000 International Flavors & Fragrances, Inc. (c)........................ 2.30% 11/01/30 3,912,067
3,114,000 International Flavors & Fragrances, Inc............................. 5.00% 09/26/48 2,873,196
--------------
6,785,263
--------------

COMMERCIAL SERVICES -- 0.1%
1,730,000 Global Payments, Inc................................................ 5.40% 08/15/32 1,701,713
1,066,000 Global Payments, Inc................................................ 5.95% 08/15/52 1,034,880
--------------
2,736,593
--------------

DIVERSIFIED FINANCIAL SERVICES -- 0.4%
1,890,000 Air Lease Corp...................................................... 3.25% 03/01/25 1,808,118
940,000 Air Lease Corp...................................................... 3.38% 07/01/25 894,232
360,000 Air Lease Corp., Medium-Term Note................................... 2.30% 02/01/25 337,658
7,930,000 Capital One Financial Corp. (d)..................................... 1.34% 12/06/24 7,618,970
3,755,000 Discover Financial Services......................................... 3.95% 11/06/24 3,721,166
950,000 Intercontinental Exchange, Inc...................................... 4.60% 03/15/33 943,066
450,000 Raymond James Financial, Inc........................................ 4.95% 07/15/46 438,982
--------------
15,762,192
--------------

ELECTRIC -- 1.5%
1,000,000 AEP Transmission Co. LLC............................................ 3.75% 12/01/47 837,723
4,128,000 Alliant Energy Finance LLC (c)...................................... 3.75% 06/15/23 4,104,056
2,655,000 Alliant Energy Finance LLC (c)...................................... 1.40% 03/15/26 2,343,313
200,000 Ameren Illinois Co.................................................. 3.70% 12/01/47 170,686
3,000,000 Appalachian Power Co., Series Z..................................... 3.70% 05/01/50 2,391,720
750,000 Cleco Power LLC..................................................... 6.00% 12/01/40 785,771
500,000 Consolidated Edison Co. of New York, Inc............................ 4.50% 05/15/58 454,648
1,695,000 Dominion Energy, Inc., Series A..................................... 3.30% 03/15/25 1,657,542
7,030,000 Duke Energy Corp.................................................... 2.55% 06/15/31 5,904,911
2,000,000 Duke Energy Corp.................................................... 3.85% 06/15/34 1,915,363
750,000 Entergy Texas, Inc.................................................. 3.45% 12/01/27 721,205
9,101,000 FirstEnergy Transmission LLC (c).................................... 2.87% 09/15/28 8,102,879

See Notes to Financial Statements Page 27

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

ELECTRIC (CONTINUED)
$ 3,855,000 Interstate Power and Light Co....................................... 2.30% 06/01/30 $ 3,276,425
1,500,000 ITC Holdings Corp. (c).............................................. 2.95% 05/14/30 1,315,614
1,750,000 Jersey Central Power & Light Co. (c)................................ 4.30% 01/15/26 1,720,181
830,000 Metropolitan Edison Co. (c)......................................... 4.00% 04/15/25 793,552
2,253,000 Metropolitan Edison Co. (c)......................................... 4.30% 01/15/29 2,208,017
10,000,000 Niagara Mohawk Power Corp. (c)...................................... 3.03% 06/27/50 6,675,337
825,000 Public Service Co. of New Mexico.................................... 3.85% 08/01/25 787,779
3,480,000 Southwestern Public Service Co., Series 9........................... 5.15% 06/01/52 3,472,861
700,000 Trans-Allegheny Interstate Line Co. (c)............................. 3.85% 06/01/25 685,264
1,505,000 Xcel Energy, Inc.................................................... 4.80% 09/15/41 1,404,422
--------------
51,729,269
--------------

ENTERTAINMENT -- 0.5%
9,840,000 Warnermedia Holdings, Inc. (c)...................................... 5.05% 03/15/42 8,136,229
11,190,000 Warnermedia Holdings, Inc. (c)...................................... 5.14% 03/15/52 9,049,919
--------------
17,186,148
--------------

FOOD -- 0.3%
643,000 Chobani LLC / Chobani Finance Corp., Inc. (c)....................... 4.63% 11/15/28 563,583
721,000 Kraft Heinz Foods Co................................................ 5.00% 07/15/35 704,685
5,885,000 Kraft Heinz Foods Co................................................ 5.20% 07/15/45 5,557,432
2,755,000 Kraft Heinz Foods Co................................................ 4.88% 10/01/49 2,513,354
3,570,000 Pilgrim's Pride Corp. (c)........................................... 3.50% 03/01/32 2,902,553
--------------
12,241,607
--------------

GAS -- 0.1%
500,000 Piedmont Natural Gas Co., Inc....................................... 3.35% 06/01/50 374,324
3,856,000 Southern Co. Gas Capital Corp....................................... 5.88% 03/15/41 4,039,025
200,000 Spire, Inc.......................................................... 3.54% 02/27/24 196,264
--------------
4,609,613
--------------

HEALTHCARE-PRODUCTS -- 0.2%
525,000 Alcon Finance Corp. (c)............................................. 2.75% 09/23/26 485,945
1,500,000 Alcon Finance Corp. (c)............................................. 2.60% 05/27/30 1,281,269
3,015,000 DENTSPLY SIRONA, Inc................................................ 3.25% 06/01/30 2,492,278
5,000,000 PerkinElmer, Inc.................................................... 2.55% 03/15/31 4,124,156
--------------
8,383,648
--------------

HEALTHCARE-SERVICES -- 1.5%
2,105,000 Bon Secours Mercy Health, Inc., Series 20-2......................... 2.10% 06/01/31 1,730,251
1,845,000 Centene Corp........................................................ 4.25% 12/15/27 1,754,743
9,311,000 Centene Corp........................................................ 2.45% 07/15/28 7,866,119
2,982,000 Centene Corp........................................................ 3.00% 10/15/30 2,492,356
2,135,000 CommonSpirit Health................................................. 2.76% 10/01/24 2,070,341
1,985,000 CommonSpirit Health................................................. 3.35% 10/01/29 1,780,450
475,000 CommonSpirit Health................................................. 2.78% 10/01/30 399,310
7,164,000 HCA, Inc............................................................ 5.25% 06/15/26 7,213,122
3,250,000 HCA, Inc. (c)....................................................... 3.13% 03/15/27 2,999,036
8,233,000 HCA, Inc............................................................ 4.13% 06/15/29 7,603,888
3,250,000 HCA, Inc. (c)....................................................... 3.63% 03/15/32 2,819,594
4,330,000 HCA, Inc. (c)....................................................... 4.63% 03/15/52 3,603,753
500,000 Humana, Inc......................................................... 3.15% 12/01/22 499,832

Page 28 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

HEALTHCARE-SERVICES (CONTINUED)
$ 360,000 Humana, Inc......................................................... 2.90% 12/15/22 $ 359,553
2,910,000 Humana, Inc......................................................... 2.15% 02/03/32 2,365,196
5,000,000 Molina Healthcare, Inc. (c)......................................... 4.38% 06/15/28 4,620,675
2,500,000 Molina Healthcare, Inc. (c)......................................... 3.88% 05/15/32 2,155,462
200,000 New York and Presbyterian (The) Hospital............................ 3.56% 08/01/36 180,853
160,000 UnitedHealth Group, Inc............................................. 4.45% 12/15/48 152,960
2,630,000 Universal Health Services, Inc. (c)................................. 1.65% 09/01/26 2,277,098
--------------
54,944,592
--------------

INSURANCE -- 1.3%
2,465,000 Aon Corp. / Aon Global Holdings PLC................................. 3.90% 02/28/52 2,055,764
5,090,000 Athene Global Funding, SOFR + 0.70% (c) (e)......................... 2.99% 05/24/24 4,989,203
2,145,000 Athene Global Funding (c)........................................... 3.21% 03/08/27 1,953,973
5,585,000 Athene Global Funding (c)........................................... 1.99% 08/19/28 4,647,060
2,605,000 Athene Global Funding (c)........................................... 2.72% 01/07/29 2,218,863
1,650,000 Farmers Exchange Capital (c)........................................ 7.05% 07/15/28 1,770,419
2,200,000 Farmers Exchange Capital II (c) (d)................................. 6.15% 11/01/53 2,251,902
1,770,000 Farmers Exchange Capital III (c) (d)................................ 5.45% 10/15/54 1,727,130
600,000 Farmers Insurance Exchange (c)...................................... 8.63% 05/01/24 633,247
3,495,000 Farmers Insurance Exchange (c) (d).................................. 4.75% 11/01/57 3,089,423
7,000,000 National General Holdings Corp. (c)................................. 6.75% 05/15/24 7,303,590
1,525,000 Nationwide Mutual Insurance Co., 3 Mo. LIBOR + 2.29% (c) (e)........ 4.12% 12/15/24 1,525,346
3,630,000 New York Life Insurance Co. (c)..................................... 3.75% 05/15/50 3,036,117
1,790,000 Teachers Insurance & Annuity Association of America (c)............. 4.90% 09/15/44 1,742,641
3,910,000 Teachers Insurance & Annuity Association of America (c)............. 4.27% 05/15/47 3,540,579
1,980,000 Teachers Insurance & Annuity Association of America (c) (d)......... 4.38% 09/15/54 1,927,720
--------------
44,412,977
--------------

INTERNET -- 0.1%
1,945,000 Netflix, Inc........................................................ 4.63% 05/15/29 1,928,077
--------------

LODGING -- 0.1%
4,385,000 Hyatt Hotels Corp................................................... 1.80% 10/01/24 4,172,233
--------------

MEDIA -- 0.9%
1,475,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 4.91% 07/23/25 1,474,200
1,410,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 2.30% 02/01/32 1,076,571
1,471,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.38% 04/01/38 1,296,209
6,920,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.38% 05/01/47 5,885,916
1,960,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.25% 04/01/53 1,663,712
3,570,000 Cox Communications, Inc. (c)........................................ 2.60% 06/15/31 2,986,781
4,670,000 Cox Enterprises, Inc. (c)........................................... 7.38% 07/15/27 5,078,681
8,275,000 Diamond Sports Group LLC / Diamond Sports Finance Co. (c)........... 5.38% 08/15/26 1,582,594
3,000,000 Paramount Global.................................................... 4.20% 05/19/32 2,653,842
8,320,000 Time Warner Cable LLC............................................... 5.50% 09/01/41 7,176,799
--------------
30,875,305
--------------

See Notes to Financial Statements Page 29

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

MISCELLANEOUS MANUFACTURING -- 0.1%
$ 943,000 General Electric Co., Medium-Term Note, 3 Mo. LIBOR +
0.38% (e)........................................................ 3.21% 05/05/26 $ 898,207
1,304,000 General Electric Co., Medium-Term Note.............................. 6.75% 03/15/32 1,481,335
--------------
2,379,542
--------------

OIL & GAS -- 0.0%
400,000 Hess Corp........................................................... 5.60% 02/15/41 387,934
--------------

PACKAGING & CONTAINERS -- 0.4%
3,000,000 Amcor Finance USA, Inc.............................................. 3.63% 04/28/26 2,862,598
1,000,000 Amcor Flexibles North America, Inc.................................. 2.63% 06/19/30 833,486
4,157,000 Berry Global, Inc................................................... 1.57% 01/15/26 3,721,262
2,125,000 Berry Global, Inc. (c).............................................. 4.88% 07/15/26 2,071,777
2,650,000 Berry Global, Inc................................................... 1.65% 01/15/27 2,283,305
3,670,000 WRKCo, Inc.......................................................... 3.00% 06/15/33 3,077,560
--------------
14,849,988
--------------

PHARMACEUTICALS -- 1.2%
4,997,000 AbbVie, Inc......................................................... 4.50% 05/14/35 4,774,121
870,000 AbbVie, Inc......................................................... 4.45% 05/14/46 785,800
1,045,000 Bayer US Finance II LLC (c)......................................... 3.38% 07/15/24 1,022,621
625,000 Bayer US Finance II LLC (c)......................................... 2.85% 04/15/25 592,504
7,880,000 Bayer US Finance II LLC (c)......................................... 4.25% 12/15/25 7,760,198
3,160,000 Bayer US Finance II LLC (c)......................................... 4.38% 12/15/28 3,046,044
815,000 Bayer US Finance II LLC (c)......................................... 4.63% 06/25/38 729,416
1,750,000 Bayer US Finance II LLC (c)......................................... 4.40% 07/15/44 1,432,574
2,540,000 Bayer US Finance II LLC (c)......................................... 4.88% 06/25/48 2,312,723
2,107,000 Becton Dickinson and Co............................................. 3.73% 12/15/24 2,090,540
2,000,000 Cigna Corp.......................................................... 3.40% 03/01/27 1,918,635
75,000 Cigna Corp.......................................................... 3.05% 10/15/27 70,072
2,060,000 Cigna Corp.......................................................... 3.88% 10/15/47 1,668,413
1,279,000 Cigna Corp.......................................................... 3.40% 03/15/51 978,745
1,225,000 CVS Health Corp..................................................... 1.75% 08/21/30 991,330
1,850,000 CVS Health Corp..................................................... 5.13% 07/20/45 1,784,582
10,430,000 CVS Health Corp..................................................... 5.05% 03/25/48 10,080,674
--------------
42,038,992
--------------

PIPELINES -- 0.7%
583,000 Energy Transfer L.P................................................. 5.50% 06/01/27 591,217
2,030,000 Energy Transfer L.P................................................. 4.95% 06/15/28 2,001,493
3,200,000 Energy Transfer L.P................................................. 4.90% 03/15/35 2,927,537
260,000 Energy Transfer L.P................................................. 5.15% 03/15/45 225,632
2,600,000 Energy Transfer L.P................................................. 6.13% 12/15/45 2,517,381
3,606,000 Energy Transfer L.P................................................. 5.40% 10/01/47 3,228,865
3,601,000 Energy Transfer L.P................................................. 5.00% 05/15/50 3,102,812
3,640,000 NGPL PipeCo LLC (c)................................................. 4.88% 08/15/27 3,536,750
150,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 2.85% 01/31/23 149,363
425,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 3.55% 12/15/29 373,329
1,350,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 3.80% 09/15/30 1,202,130
716,000 Rockies Express Pipeline LLC (c).................................... 4.95% 07/15/29 646,496
1,500,000 Rockies Express Pipeline LLC (c).................................... 4.80% 05/15/30 1,264,178
1,360,000 Rockies Express Pipeline LLC (c).................................... 6.88% 04/15/40 1,134,974

Page 30 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

PIPELINES (CONTINUED)
$ 329,909 Ruby Pipeline LLC (f) (g) (h)....................................... 8.00% 04/01/22 $ 277,124
--------------
23,179,281
--------------

REAL ESTATE INVESTMENT TRUSTS -- 1.6%
250,000 Alexandria Real Estate Equities, Inc................................ 4.30% 01/15/26 248,861
612,000 Alexandria Real Estate Equities, Inc................................ 4.50% 07/30/29 596,635
500,000 American Assets Trust L.P........................................... 3.38% 02/01/31 423,101
4,320,000 American Campus Communities Operating Partnership L.P............... 3.75% 04/15/23 4,325,180
750,000 CubeSmart L.P....................................................... 4.38% 02/15/29 724,174
1,150,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.38% 11/01/23 1,140,852
4,785,000 GLP Capital L.P. / GLP Financing II, Inc............................ 3.35% 09/01/24 4,574,879
7,701,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.38% 04/15/26 7,577,418
1,210,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.30% 01/15/29 1,171,456
2,525,000 GLP Capital L.P. / GLP Financing II, Inc............................ 4.00% 01/15/30 2,216,268
895,000 Healthcare Realty Holdings L.P...................................... 3.63% 01/15/28 823,506
2,000,000 Healthcare Realty Holdings L.P...................................... 3.10% 02/15/30 1,729,873
7,235,000 Healthcare Realty Holdings L.P...................................... 2.00% 03/15/31 5,654,599
3,930,000 Hudson Pacific Properties L.P....................................... 3.95% 11/01/27 3,694,311
1,000,000 Hudson Pacific Properties L.P....................................... 4.65% 04/01/29 941,827
740,000 Invitation Homes Operating Partnership L.P.......................... 2.30% 11/15/28 619,824
860,000 Kilroy Realty L.P................................................... 2.50% 11/15/32 668,387
1,093,000 Kilroy Realty L.P................................................... 2.65% 11/15/33 833,744
200,000 Life Storage L.P.................................................... 3.88% 12/15/27 189,464
1,135,000 Life Storage L.P.................................................... 2.20% 10/15/30 915,306
1,605,000 LXP Industrial Trust................................................ 2.70% 09/15/30 1,301,022
1,837,000 LXP Industrial Trust................................................ 2.38% 10/01/31 1,403,744
350,000 Piedmont Operating Partnership L.P.................................. 3.40% 06/01/23 348,046
670,000 Piedmont Operating Partnership L.P.................................. 3.15% 08/15/30 553,005
300,000 SL Green Operating Partnership L.P.................................. 3.25% 10/15/22 299,421
550,000 SL Green Realty Corp................................................ 4.50% 12/01/22 550,000
1,000,000 Ventas Realty L.P................................................... 2.65% 01/15/25 957,969
205,000 VICI Properties L.P................................................. 4.95% 02/15/30 197,117
6,178,000 VICI Properties L.P................................................. 5.13% 05/15/32 5,873,733
350,000 VICI Properties L.P. / VICI Note Co., Inc. (c)...................... 4.63% 06/15/25 339,284
1,275,000 VICI Properties L.P. / VICI Note Co., Inc. (c)...................... 4.50% 09/01/26 1,203,077
1,425,000 VICI Properties L.P. / VICI Note Co., Inc. (c)...................... 5.75% 02/01/27 1,404,907
195,000 VICI Properties L.P. / VICI Note Co., Inc. (c)...................... 3.75% 02/15/27 176,818
750,000 VICI Properties L.P. / VICI Note Co., Inc. (c)...................... 4.50% 01/15/28 696,558
2,930,000 VICI Properties L.P. / VICI Note Co., Inc. (c)...................... 3.88% 02/15/29 2,609,905
75,000 Welltower, Inc...................................................... 4.50% 01/15/24 75,285
--------------
57,059,556
--------------

RETAIL -- 0.3%
7,335,000 7-Eleven, Inc. (c).................................................. 0.80% 02/10/24 6,981,791
5,035,000 Michaels (The) Cos., Inc. (c)....................................... 7.88% 05/01/29 3,355,953
--------------
10,337,744
--------------

SEMICONDUCTORS -- 0.1%
2,505,000 Broadcom, Inc....................................................... 4.30% 11/15/32 2,271,988
2,000,000 Broadcom, Inc. (c).................................................. 3.47% 04/15/34 1,622,824
--------------
3,894,812
--------------

See Notes to Financial Statements Page 31

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

SOFTWARE -- 0.3%
$ 126,000 Change Healthcare Holdings LLC / Change Healthcare Finance,
Inc. (c)......................................................... 5.75% 03/01/25 $ 124,504
1,400,000 Fiserv, Inc......................................................... 2.25% 06/01/27 1,263,562
510,000 Fiserv, Inc......................................................... 2.65% 06/01/30 435,881
10,000 Oracle Corp......................................................... 2.88% 03/25/31 8,320
2,050,000 Oracle Corp......................................................... 4.00% 11/15/47 1,495,304
2,535,000 Oracle Corp......................................................... 3.60% 04/01/50 1,734,331
6,397,000 Oracle Corp......................................................... 3.95% 03/25/51 4,616,158
--------------
9,678,060
--------------

TELECOMMUNICATIONS -- 2.3%
3,175,000 AT&T, Inc........................................................... 4.50% 05/15/35 2,995,373
3,500,000 AT&T, Inc........................................................... 5.25% 03/01/37 3,522,417
145,000 AT&T, Inc........................................................... 4.30% 12/15/42 126,306
6,270,000 AT&T, Inc........................................................... 4.75% 05/15/46 5,842,487
3,880,000 AT&T, Inc........................................................... 4.50% 03/09/48 3,393,788
9,327,000 AT&T, Inc........................................................... 3.80% 12/01/57 7,098,727
1,985,000 Level 3 Financing, Inc. (c)......................................... 3.40% 03/01/27 1,764,168
4,525,000 Level 3 Financing, Inc. (c)......................................... 3.75% 07/15/29 3,641,268
4,240,000 Level 3 Financing, Inc. (c)......................................... 3.88% 11/15/29 3,603,622
4,500,000 SES GLOBAL Americas Holdings, Inc. (c).............................. 5.30% 03/25/44 3,859,975
4,891,563 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint
Spectrum Co. III LLC (c)......................................... 4.74% 03/20/25 4,913,105
21,145,000 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint
Spectrum Co. III LLC (c)......................................... 5.15% 03/20/28 21,316,122
3,415,000 T-Mobile USA, Inc................................................... 3.75% 04/15/27 3,283,351
6,980,000 T-Mobile USA, Inc................................................... 3.88% 04/15/30 6,481,091
8,231,000 T-Mobile USA, Inc................................................... 2.55% 02/15/31 6,858,886
2,845,000 T-Mobile USA, Inc................................................... 4.38% 04/15/40 2,522,652
750,000 T-Mobile USA, Inc................................................... 4.50% 04/15/50 656,635
--------------
81,879,973
--------------
TOTAL CORPORATE BONDS AND NOTES................................................................ 816,710,176
(Cost $926,768,119) --------------

ASSET-BACKED SECURITIES -- 12.2%

ACE Securities Corp. Home Equity Loan Trust
15,091,266 Series 2007-HE1, Class A1, 1 Mo. LIBOR + 0.30% (e)............... 2.74% 01/25/37 8,945,908
13,106,697 Series 2007-WM2, Class A1, 1 Mo. LIBOR + 0.21% (e)............... 2.65% 02/25/37 6,408,414
AGL CLO Ltd.
13,000,000 Series 2021-12A, Class A1, 3 Mo. LIBOR + 1.16% (c) (e)........... 3.87% 07/20/34 12,738,720
AMMC CLO Ltd.
1,476,281 Series 2016-19A, Class AR, 3 Mo. LIBOR + 1.14% (c) (e)........... 3.65% 10/16/28 1,472,771
AMSR Trust
3,500,000 Series 2021-SFR3, Class G (c).................................... 3.80% 10/17/38 3,009,614
Argent Securities, Inc.
125,566 Series 2005-W2, Class M1, 1 Mo. LIBOR + 0.74% (e)................ 3.18% 10/25/35 123,602
Asset Backed Funding Certificates Trust
8,633,948 Series 2006-HE1, Class A2B, 1 Mo. LIBOR + 0.11% (e).............. 2.55% 01/25/37 5,294,207
Bardot CLO Ltd.
10,400,000 Series 2019-2A, Class BR, 3 Mo. LIBOR + 1.60% (c) (e)............ 4.36% 10/22/32 9,994,866

Page 32 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

Barings CLO Ltd.
$ 290,253 Series 2013-IA, Class AR, 3 Mo. LIBOR + 0.80% (c) (e)............ 3.51% 01/20/28 $ 288,076
12,500,000 Series 2019-2A, Class A2R, 3 Mo. LIBOR + 1.70% (c) (e)........... 4.21% 04/15/36 11,994,014
Brazos Higher Education Authority, Inc.
294,587 Series 2011-2, Class A3, 3 Mo. LIBOR + 1.00% (e)................. 3.78% 10/27/36 291,904
Carrington Mortgage Loan Trust
18,000,000 Series 2006-NC4, 1 Mo. LIBOR + 0.24% (e)......................... 2.68% 10/25/36 15,676,054
597,801 Series 2006-OPT1, Class M1, 1 Mo. LIBOR + 0.53% (e).............. 2.97% 02/25/36 592,900
Carvana Auto Receivables Trust
70,350 Series 2022-P3, Class R (c) (i).................................. (j) 09/10/29 12,145,928
CF Hippolyta Issuer LLC
9,471,981 Series 2020-1, Class A1 (c)...................................... 1.69% 07/15/60 8,617,813
CIFC Funding Ltd.
5,610,000 Series 2021-7A, Class A1, 3 Mo. LIBOR + 1.13% (c) (e)............ 3.91% 01/23/35 5,491,257
Citigroup Mortgage Loan Trust
373,340 Series 2006-HE2, Class M1, 1 Mo. LIBOR + 0.44% (e)............... 2.88% 08/25/36 371,437
Dryden Senior Loan Fund
819,616 Series 2013-26A, Class AR, 3 Mo. LIBOR + 0.90% (c) (e)........... 3.41% 04/15/29 810,190
572,000 Series 2013-28A, Class A1LR, 3 Mo. LIBOR + 1.20% (c) (e)......... 4.11% 08/15/30 570,639
ECMC Group Student Loan Trust
1,533,565 Series 2017-2A, Class A, 1 Mo. LIBOR + 1.05% (c) (e)............. 3.49% 05/25/67 1,511,756
EFS Volunteer No 3 LLC
90,553 Series 2012-1, Class A3, 1 Mo. LIBOR + 1.00% (c) (e)............. 3.44% 04/25/33 89,464
Elmwood CLO VI Ltd.
13,400,000 Series 2020-3A, Class BR, 3 Mo. LIBOR + 1.65% (c) (e)............ 4.36% 10/20/34 12,834,192
First Franklin Mortgage Loan Trust
16,657,072 Series 2006-FF13, Class A2C, 1 Mo. LIBOR + 0.32% (e)............. 2.76% 10/25/36 12,026,864
12,352,627 Series 2007-FF2, Class A1, 1 Mo. LIBOR + 0.14% (e)............... 2.58% 03/25/37 7,578,642
GE-WMC Mortgage Securities LLC
430,076 Series 2005-1, Class M1, 1 Mo. LIBOR + 0.66% (e)................. 3.10% 10/25/35 416,792
GoldenTree Loan Management US CLO Ltd.
5,000,000 Series 2020-8A, Class AR, 3 Mo. LIBOR + 1.15% (c) (e)............ 3.86% 10/20/34 4,913,309
GSAA Home Equity Trust
698,491 Series 2005-6, Class M1, 1 Mo. LIBOR + 0.65% (e)................. 3.09% 06/25/35 692,011
GSAMP Trust
13,329,917 Series 2006-NC2, Class A2C, 1 Mo. LIBOR + 0.30% (e).............. 2.74% 06/25/36 8,254,593
9,545,164 Series 2007-FM2, Class A1, 1 Mo. LIBOR + 0.14% (e)............... 2.58% 01/25/37 6,066,631
JP Morgan Mortgage Acquisition Trust
16,155 Series 2006-ACC1, Class M1, 1 Mo. LIBOR + 0.41% (e).............. 2.85% 05/25/36 16,426
2,240,791 Series 2006-WF1, Class A6........................................ 6.50% 07/25/36 768,169
17,928,435 Series 2006-WMC2, Class A4, 1 Mo. LIBOR + 0.30% (e).............. 2.74% 07/25/36 9,048,538
18,968,975 Series 2006-WMC2, Class A5, 1 Mo. LIBOR + 0.50% (e).............. 2.94% 07/25/36 9,661,193
226,967 Series 2007-CH2, Class MV1, 1 Mo. LIBOR + 0.28% (e).............. 2.72% 01/25/37 225,857
Lehman XS Trust
3,004,504 Series 2006-9, Class A1C, 1 Mo. LIBOR + 0.52% (e)................ 2.96% 05/25/46 2,731,287
Long Beach Mortgage Loan Trust
462,467 Series 2006-1, Class 1A, 1 Mo. LIBOR + 0.44% (e)................. 2.88% 02/25/36 450,673
Magnetite VII Ltd.
4,197,496 Series 2012-7A, Class A1R2, 3 Mo. LIBOR + 0.80% (c) (e).......... 3.31% 01/15/28 4,163,818
Mastr Asset Backed Securities Trust
7,143,966 Series 2006-WMC3, Class A2, 1 Mo. LIBOR + 0.05% (e).............. 2.49% 08/25/36 2,802,540

See Notes to Financial Statements Page 33

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

Merrill Lynch First Franklin Mortgage Loan Trust
$ 282,652 Series 2007-3, Class A2B, 1 Mo. LIBOR + 0.13% (e)................ 2.57% 06/25/37 $ 234,791
Mid-State Trust
115,282 Series 2003-11, Class A1......................................... 4.86% 07/15/38 112,983
Morgan Stanley ABS Capital I, Inc. Trust

10,306,943 Series 2006-HE4, Class A3, 1 Mo. LIBOR + 0.30% (e)............... 2.74% 06/25/36 5,839,995
5,562,849 Series 2006-HE8, Class A2B, 1 Mo. LIBOR + 0.10% (e).............. 2.54% 10/25/36 2,806,985
371,356 Series 2006-NC1, Class M1, 1 Mo. LIBOR + 0.57% (e)............... 3.01% 12/25/35 368,614
6,014,535 Series 2007-HE1, Class A2D, 1 Mo. LIBOR + 0.23% (e).............. 2.67% 11/25/36 3,827,819
26,499,025 Series 2007-HE2, Class A2D, 1 Mo. LIBOR + 0.21% (e).............. 2.65% 01/25/37 13,966,838
6,809,847 Series 2007-NC3, Class A2D, 1 Mo. LIBOR + 0.26% (e).............. 2.70% 05/25/37 5,306,286
Navient Student Loan Trust
217,348 Series 2014-1, Class A3, 1 Mo. LIBOR + 0.51% (e)................. 2.95% 06/25/31 209,639
190,588 Series 2014-3, Class A, 1 Mo. LIBOR + 0.62% (e).................. 3.06% 03/25/83 185,757
162,306 Series 2015-1, Class A2, 1 Mo. LIBOR + 0.60% (e)................. 3.04% 04/25/40 157,424
1,665,382 Series 2016-2A, Class A3, 1 Mo. LIBOR + 1.50% (c) (e)............ 3.94% 06/25/65 1,662,412
3,618,265 Series 2016-5A, Class A, 1 Mo. LIBOR + 1.25% (c) (e)............. 3.69% 06/25/65 3,582,048
300,000 Series 2017-3A, Class A3, 1 Mo. LIBOR + 1.05% (c) (e)............ 3.49% 07/26/66 298,233
2,929,749 Series 2017-5A, Class A, 1 Mo. LIBOR + 0.80% (c) (e)............. 3.24% 07/26/66 2,840,763
New Century Home Equity Loan Trust
796,649 Series 2005-4, Class M3, 1 Mo. LIBOR + 0.83% (e)................. 3.27% 09/25/35 795,880
New Residential Mortgage Loan Trust
16,615,000 Series 2022-SFR2, Class B........................................ 3.75% 09/04/39 15,267,435
15,000,000 Series 2022-SFR2, Class E1....................................... 4.00% 09/04/39 12,769,010
OCP CLO Ltd.
6,200,000 Series 2020-19A, Class AR, 3 Mo. LIBOR + 1.15% (c) (e)........... 3.86% 10/20/34 6,065,635
8,530,000 Series 2021-21A, Class B, 3 Mo. LIBOR + 1.70% (c) (e)............ 4.41% 07/20/34 8,271,702
Octagon Investment Partners 46 Ltd.
14,000,000 Series 2020-2A, Class AR, 3 Mo. LIBOR + 1.16% (c) (e)............ 3.67% 07/15/36 13,746,451
OHA Credit Funding 4 Ltd.
12,685,000 Series 2019-4A, Class BR, 3 Mo. LIBOR + 1.65% (c) (e)............ 4.41% 10/22/36 12,296,932
Palmer Square Loan Funding Ltd.
517,567 Series 2019-4A, Class A1, 3 Mo. LIBOR + 0.90% (c) (e)............ 3.68% 10/24/27 518,406
Rad CLO 14 Ltd.
10,000,000 Series 2021-14A, Class BR, 3 Mo. LIBOR + 1.65% (c) (e)........... 4.16% 01/15/35 9,501,964
Residential Asset Securities Corp.
86,535 Series 2006-EMX3, Class A3, 1 Mo. LIBOR + 0.28% (e).............. 3.00% 04/25/36 85,075
680,270 Series 2006-KS3, Class M1, 1 Mo. LIBOR + 0.33% (e)............... 2.94% 04/25/36 672,437
Rockford Tower CLO Ltd.
10,000,000 Series 2017-3A, Class A, 3 Mo. LIBOR + 1.19% (c) (e)............. 3.90% 10/20/30 9,886,000
Saxon Asset Securities Trust
565,347 Series 2007-2, Class A2C, 1 Mo. LIBOR + 0.24% (e)................ 2.68% 05/25/47 426,997
Securitized Asset-Backed Receivables LLC Trust
23,221,291 Series 2006-WM4, Class A1, 1 Mo. LIBOR + 0.38% (c) (e)........... 2.82% 11/25/36 12,248,167
Skyline Aircraft Finance LLC
12,836,102 Series 2020-1, Class A (k) (l)................................... 3.23% 05/10/38 11,677,343
SLC Student Loan Trust
5,054,000 Series 2006-1, Class A6, 3 Mo. LIBOR + 0.16% (e)................. 1.99% 03/15/55 4,830,385
109,729 Series 2006-2, Class A6, 3 Mo. LIBOR + 0.16% (e)................. 1.99% 09/15/39 102,815
1,331,448 Series 2008-1, Class A4A, 3 Mo. LIBOR + 1.60% (e)................ 3.43% 12/15/32 1,331,085

Page 34 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

SLM Student Loan Trust
$ 461,476 Series 2005-9, Class A7A, 3 Mo. LIBOR + 0.60% (e)................ 3.38% 01/25/41 $ 450,962
80,000 Series 2007-7, Class B, 3 Mo. LIBOR + 0.75% (e).................. 3.53% 10/27/70 68,712
130,000 Series 2008-2, Class B, 3 Mo. LIBOR + 1.20% (e).................. 3.98% 01/25/83 102,956
700,000 Series 2008-3, Class B, 3 Mo. LIBOR + 1.20% (e).................. 3.98% 04/26/83 588,883
4,360,637 Series 2008-6, Class A4, 3 Mo. LIBOR + 1.10% (e)................. 3.88% 07/25/23 4,263,954
320,000 Series 2008-7, Class B, 3 Mo. LIBOR + 1.85% (e).................. 4.63% 07/26/83 289,313
2,030,759 Series 2008-8, Class A4, 3 Mo. LIBOR + 1.50% (e)................. 4.28% 04/25/23 2,017,902
3,525,456 Series 2011-2, Class A2, 1 Mo. LIBOR + 1.20% (e)................. 3.64% 10/25/34 3,507,572
640,848 Series 2012-2, Class A, 1 Mo. LIBOR + 0.70% (e).................. 3.14% 01/25/29 612,449
620,303 Series 2012-3, Class A, 1 Mo. LIBOR + 0.65% (e).................. 3.09% 12/27/38 601,509
226,786 Series 2012-6, Class A3, 1 Mo. LIBOR + 0.75% (e)................. 3.19% 05/26/26 216,335
3,357,734 Series 2012-7, Class A3, 1 Mo. LIBOR + 0.65% (e)................. 3.09% 05/26/26 3,210,343
555,000 Series 2012-7, Class B, 1 Mo. LIBOR + 1.80% (e).................. 4.24% 09/25/43 529,238
118,579 Series 2013-2, Class A, 1 Mo. LIBOR + 0.45% (e).................. 2.89% 06/25/43 115,468
Soundview Home Loan Trust
6,285,397 Series 2007-OPT4, Class 1A1, 1 Mo. LIBOR + 1.00% (e)............. 3.44% 09/25/37 4,819,608
Structured Asset Investment Loan Trust
652,707 Series 2004-6, Class A3, 1 Mo. LIBOR + 0.80% (e)................. 3.24% 07/25/34 632,167
64,308 Series 2005-2, Class M2, 1 Mo. LIBOR + 0.74% (e)................. 3.18% 03/25/35 63,989
Structured Asset Securities Corp. Mortgage Loan Trust
979,045 Series 2005-NC2, Class M5, 1 Mo. LIBOR + 0.93% (e)............... 3.37% 05/25/35 973,172
TAL Advantage VII LLC
9,585,000 Series 2020-1A, Class A (c)...................................... 2.05% 09/20/45 8,649,549
TIF Funding II LLC
8,196,500 Series 2020-1A, Class A (c)...................................... 2.09% 08/20/45 7,316,438
Trestles CLO V Ltd.
13,000,000 Series 2021-5A, Class A1, 3 Mo. LIBOR + 1.17% (c) (e)............ 3.88% 10/20/34 12,761,803
Voya CLO Ltd.
13,000,000 Series 2020-1A, Class AR, 3 Mo. LIBOR + 1.15% (c) (e)............ 3.89% 07/16/34 12,761,635
Wachovia Student Loan Trust
718,481 Series 2006-1, Class A6, 3 Mo. LIBOR + 0.17% (c) (e)............. 2.95% 04/25/40 691,568
WaMu Asset-Backed Certificates WaMu Trust
1,088,166 Series 2007-HE2, Class 2A1, 1 Mo. LIBOR + 0.11% (e).............. 2.55% 04/25/37 446,224
3,776,120 Series 2007-HE2, Class 2A2, 1 Mo. LIBOR + 0.19% (e).............. 2.63% 04/25/37 1,555,615
8,091,685 Series 2007-HE2, Class 2A3, 1 Mo. LIBOR + 0.25% (e).............. 2.69% 04/25/37 3,343,925
Wellman Park CLO Ltd.
11,650,000 Series 2021-1A, Class B, 3 Mo. LIBOR + 1.60% (c) (e)............. 4.11% 07/15/34 11,225,676
--------------
TOTAL ASSET-BACKED SECURITIES.................................................................. 432,802,340
(Cost $465,283,328) --------------

MORTGAGE-BACKED SECURITIES -- 10.7%

COLLATERALIZED MORTGAGE OBLIGATIONS -- 7.8%
Ajax Mortgage Loan Trust
2,695,660 Series 2019-F, Class A1, steps up to 3.86% on 11/25/26 (c) (m)... 2.86% 07/25/59 2,596,890
Alternative Loan Trust
5,186,628 Series 2005-16, Class A4, 1 Mo. LIBOR + 0.48% (e)................ 2.92% 06/25/35 4,507,573
5,917,071 Series 2005-56, Class 1A1, 1 Mo. LIBOR + 1.46% (e)............... 3.90% 11/25/35 5,494,869
5,867,528 Series 2005-67CB, Class A1....................................... 5.50% 01/25/36 4,789,805
2,711,560 Series 2007-13, Class A1......................................... 6.00% 06/25/47 1,637,089

See Notes to Financial Statements Page 35

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
American Home Mortgage Assets Trust
$ 12,190,555 Series 2007-1, Class A1, 12 Mo. Treasury Average + 0.70% (e)..... 1.56% 02/25/47 $ 5,310,168
American Home Mortgage Investment Trust
1,661,251 Series 2005-4, Class 1A1, 1 Mo. LIBOR + 0.58% (e)................ 3.02% 11/25/45 1,508,153
Banc of America Funding Trust
479,822 Series 2014-R6, Class 2A13 (c) (n)............................... 2.52% 07/26/36 464,236
Bear Stearns Mortgage Funding Trust
96,180 Series 2006-AR1, Class 1A1, 1 Mo. LIBOR + 0.42% (e).............. 2.86% 07/25/36 87,004
2,377,521 Series 2006-AR3, Class 1A1, 1 Mo. LIBOR + 0.18% (e).............. 2.62% 10/25/36 2,039,806
3,285,907 Series 2006-AR5, Class 2A1, 1 Mo. LIBOR + 0.19% (e).............. 2.63% 01/25/37 2,921,033
173,886 Series 2007-AR5, Class 1A1G, 1 Mo. LIBOR + 0.16% (e)............. 2.60% 06/25/47 153,007
CIM Trust
5,779,682 Series 2018-R6, Class A1, 1 Mo. LIBOR + 1.08% (c) (e)............ 3.45% 09/25/58 5,658,149
3,013,353 Series 2019-R1, Class A (c)...................................... 3.25% 10/25/58 2,863,389
3,504,461 Series 2019-R4, Class A1 (c)..................................... 3.00% 10/25/59 3,264,257
5,855,115 Series 2020-R3, Class A1A (c).................................... 4.00% 01/26/60 5,694,779
7,836,354 Series 2020-R4, Class A1A (c) (o)................................ 3.30% 06/25/60 7,481,700
21,112,000 Series 2020-R7, Class A1B (c) (o)................................ 2.25% 12/27/61 17,635,854
6,474,487 Series 2021-NR3, Class A1, steps-up to 5.57% on
04/26/24 (c) (m).............................................. 2.57% 06/25/57 6,107,815
19,612,125 Series 2021-NR4, Class A1, steps up to 5.82% on
10/25/24 (c) (m).............................................. 2.82% 10/25/61 18,354,672
16,932,939 Series 2021-R3, Class A1A (c).................................... 1.95% 06/25/57 15,346,766
CitiMortgage Alternative Loan Trust
2,173,908 Series 2006-A4, Class 1A8........................................ 6.00% 09/25/36 1,907,221
Credit Suisse Mortgage Trust
9,278,983 Series 2007-2, Class 1A4......................................... 5.75% 03/25/37 6,152,025
27,106,940 Series 2007-3, Class 1A1A........................................ 5.84% 04/25/37 7,849,289
15,016,920 Series 2021-RP11 (c) (e)......................................... 3.76% 10/25/61 12,650,468
CSMCM Trust
643,714 Series 2021-RP1 (c).............................................. 3.78% 10/27/61 547,121
GMACM Mortgage Loan Trust
1,356,150 Series 2006-J1, Class A4......................................... 5.75% 04/25/36 1,208,895
1,310,698 Series 2006-AR1, Class 1A1 (n)................................... 2.90% 04/19/36 1,055,733
GreenPoint Mortgage Funding Trust
73,966 Series 2006-AR1, Class A1A, 1 Mo. LIBOR + 0.58% (e).............. 3.02% 02/25/36 67,289
GSR Mortgage Loan Trust
21,427,389 Series 2006-OA1, Class 2A2, 1 Mo. LIBOR + 0.52% (e).............. 2.96% 08/25/46 7,772,648
HarborView Mortgage Loan Trust
352,038 Series 2005-10, Class 2A1A, 1 Mo. LIBOR + 0.62% (e).............. 2.99% 11/19/35 282,732
1,165,537 Series 2007-7, Class 1A1, 1 Mo. LIBOR + 2.00% (e)................ 3.44% 10/25/37 1,032,938
HomeBanc Mortgage Trust
626,814 Series 2004-2, Class A1, 1 Mo. LIBOR + 0.74% (e)................. 3.18% 12/25/34 599,237
Impac CMB Trust
174,117 Series 2005-2, Class 1A1, 1 Mo. LIBOR + 0.52% (e)................ 2.96% 04/25/35 166,034
542,952 Series 2005-4, Class 1A1A, 1 Mo. LIBOR + 0.54% (e)............... 2.98% 05/25/35 512,708
IndyMac INDX Mortgage Loan Trust
1,316,385 Series 2005-AR14, Class 2A1A, 1 Mo. LIBOR + 0.60% (e)............ 3.04% 07/25/35 1,121,580
18,283,578 Series 2005-AR29, Class A1 (n)................................... 3.19% 01/25/36 16,284,479
3,226,196 Series 2006-AR6, Class 2A1A, 1 Mo. LIBOR + 0.40% (e)............. 2.84% 06/25/46 2,823,864
3,927,984 Series 2007-FLX4, Class 2A2, 1 Mo. LIBOR + 0.25% (e)............. 2.69% 07/25/37 3,647,057

Page 36 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
JP Morgan Mortgage Trust
$ 1,506,610 Series 2006-A4, Class 1A1 (n).................................... 3.36% 06/25/36 $ 1,159,738
Lehman XS Trust
249,346 Series 2006-16N, Class A4A, 1 Mo. LIBOR + 0.38% (e).............. 2.82% 11/25/46 221,294
4,691,031 Series 2007-16N, Class 1A1, 1 Mo. LIBOR + 0.94% (e).............. 3.38% 09/25/47 4,385,526
2,417,459 Series 2007-16N, Class 2A1, 1 Mo. LIBOR + 0.80% (e).............. 3.24% 09/25/47 2,177,909
Merrill Lynch Alternative Note Asset Trust
3,266,556 Series 2007-OAR3, Class A1, 1 Mo. LIBOR + 0.19% (e).............. 2.63% 07/25/47 2,856,552
Morgan Stanley Mortgage Loan Trust
107,048 Series 2004-6AR, Class 1M1, 1 Mo. LIBOR + 0.98% (e).............. 3.42% 07/25/34 107,427
28,203 Series 2005-2AR, Class A, 1 Mo. LIBOR + 0.26% (e)................ 2.70% 04/25/35 27,054
MortgageIT Trust
48,565 Series 2005-5, Class A1, 1 Mo. LIBOR + 0.52% (e)................. 2.96% 12/25/35 46,754
Nomura Resecuritization Trust
734,114 Series 2015-5R, Class 1A1 (c).................................... 4.00% 08/26/37 731,903
Opteum Mortgage Acceptance Corp.
945,098 Series 2005-5, Class 1A1D, 1 Mo. LIBOR + 0.76% (e)............... 3.20% 12/25/35 914,072
301,983 Series 2006-1, Class 1APT, 1 Mo. LIBOR + 0.42% (e)............... 2.86% 04/25/36 274,448
Pretium Mortgage Credit Partners LLC
10,698,000 Series 2022-RN3, Class A1 (c) (l)................................ 5.00% 08/25/52 10,462,291
PRPM LLC
11,065,323 Series 2021-7, Class A1, steps up to 4.87% on 8/25/24 (c) (m).... 1.87% 08/25/26 10,306,721
20,144,015 Series 2021-10, Class A1, steps up to 5.49% on
10/25/24 (c) (m).............................................. 2.49% 10/25/26 18,919,019
RALI Trust
6,668,216 Series 2007-QS7, Class 1A1....................................... 6.00% 05/25/37 5,795,083
3,275,300 Series 2007-QS9, Class A33....................................... 6.50% 07/25/37 2,802,675
RFMSI Trust
6,807,389 Series 2007-S6, Class 1A4........................................ 6.00% 06/25/37 5,886,200
Structured Adjustable Rate Mortgage Loan Trust
19,557 Series 2004-12, Class 3A1 (n).................................... 3.06% 09/25/34 19,223
24,423,775 Series 2006-2, Class 4A1 (n)..................................... 3.57% 03/25/36 16,727,238
Structured Asset Mortgage Investments II Trust
2,408,267 Series 2006-AR1, Class 3A1, 1 Mo. LIBOR + 0.46% (e).............. 2.90% 02/25/36 2,199,916
6,557,351 Series 2006-AR7, Class A1A, 1 Mo. LIBOR + 0.42% (e).............. 2.86% 08/25/36 6,202,751
3,390,097 Series 2007-AR6, Class A1, 12 Mo. Treasury Average +
1.50% (e)..................................................... 2.36% 08/25/47 3,115,503
WaMu Mortgage Pass-Through Certificates Trust
74,352 Series 2005-AR1, Class A2A1, 1 Mo. LIBOR + 0.68% (e)............. 3.12% 01/25/45 70,816
148,832 Series 2005-AR15, Class A1A1, 1 Mo. LIBOR + 0.52% (e)............ 2.96% 11/25/45 136,889
197,653 Series 2006-AR3, Class A1A, 12 Mo. Treasury Average +
1.00% (e)..................................................... 1.86% 02/25/46 180,230
301,516 Series 2006-AR4, Class 1A1A, 12 Mo. Treasury Average +
0.94% (e)..................................................... 1.58% 05/25/46 273,800
--------------
275,599,364
--------------

COMMERCIAL MORTGAGE-BACKED SECURITIES -- 2.9%
BX Commercial Mortgage Trust
8,821,865 Series 2019-XL, Class A, 1 Mo. LIBOR + 0.92% (c) (e)............. 3.31% 10/15/36 8,723,459

See Notes to Financial Statements Page 37

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
BXSC Commercial Mortgage Trust
$ 8,450,000 Series 2022-WSS, Class D, 1 Mo. CME Term SOFR +
3.19% (c) (e)................................................. 5.50% 03/15/35 $ 8,144,312
CAMB Commercial Mortgage Trust
9,150,000 Series 2019-LIFE, Class F, 1 Mo. LIBOR + 2.55% (c) (e)........... 4.94% 12/15/37 8,853,904
COMM Mortgage Trust
247,587 Series 2012-CR5, Class A4........................................ 2.77% 12/10/45 246,823
DROP Mortgage Trust
12,284,000 Series 2021-FILE, Class B, 1 Mo. LIBOR + 1.70% (c) (e)........... 4.09% 10/15/43 11,759,888
Life Mortgage Trust
7,863,761 Series 2021-BMR, Class G, 1 Mo. LIBOR + 2.95% (c) (e)............ 5.34% 03/15/38 7,293,862
Manhattan West
3,855,000 Series 2020-1MW, Class A (c)..................................... 2.13% 09/10/39 3,402,218
Med Trust
7,000,000 Series 2021-MDLN, Class D, 1 Mo. LIBOR + 2.00% (c) (e)........... 4.39% 11/15/38 6,661,789
MSCG Trust
15,132,000 Series 2018-SELF, Class F, 1 Mo. LIBOR + 3.05% (c) (e)........... 5.44% 10/15/37 14,302,617
MSDB Trust
4,800,000 Series 2017-712F, Class A (c) (n)................................ 3.43% 07/11/39 4,381,160
NCMF Trust
10,000,000 Series 2022-MFP, Class C, 1 Mo. CME Term SOFR +
2.84% (c) (e)................................................. 5.14% 03/15/39 9,825,771
SFAVE Commercial Mortgage Securities Trust
9,265,000 Series 2015-5AVE, Class A2A (c) (n).............................. 3.66% 01/05/43 7,387,950
SFO Commercial Mortgage Trust
3,787,000 Series 2021-555, Class A, 1 Mo. LIBOR + 1.15% (c) (e)............ 3.54% 05/15/38 3,635,587
SLG Office Trust
5,000,000 Series 2021-OVA, Class F (c)..................................... 2.85% 07/15/41 3,645,521
TPGI Trust
4,500,000 Series 2021-DGWD, Class E, 1 Mo. LIBOR + 2.35% (c) (e)........... 4.74% 06/15/26 4,199,931
UBS-Barclays Commercial Mortgage Trust
201,638 Series 2013-C6, Class A3......................................... 2.97% 04/10/46 199,868
--------------
102,664,660
--------------
TOTAL MORTGAGE-BACKED SECURITIES............................................................... 378,264,024
(Cost $416,393,977) --------------

PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (U.S. DOLLAR)
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
FOREIGN CORPORATE BONDS AND NOTES -- 7.3%

AGRICULTURE -- 0.3%
1,780,000 Imperial Brands Finance PLC (USD) (c)............................... 3.50% 02/11/23 1,778,850
2,325,000 Imperial Brands Finance PLC (USD) (c)............................... 3.13% 07/26/24 2,239,094
5,085,000 Imperial Brands Finance PLC (USD) (c)............................... 4.25% 07/21/25 4,982,459
--------------
9,000,403
--------------

Page 38 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

AIRLINES -- 0.0%
596,400 Air Canada Pass-Through Trust, Series 2017-1, Class AA
(USD) (c)........................................................ 3.30% 01/15/30 $ 534,183
--------------

BANKS -- 3.6%
12,020,000 Credit Suisse Group AG (USD) (c) (d)................................ 1.31% 02/02/27 10,144,368
3,365,000 Credit Suisse Group AG (USD) (c) (d)................................ 6.44% 08/11/28 3,305,796
5,260,000 Credit Suisse Group AG (USD) (c) (d)................................ 3.09% 05/14/32 3,988,312
6,415,000 Credit Suisse Group AG (USD) (c) (d)................................ 6.54% 08/12/33 6,146,427
7,000,000 DNB Bank ASA (USD) (c) (d).......................................... 1.61% 03/30/28 6,068,212
400,000 Global Bank Corp. (USD) (d) (p)..................................... 5.25% 04/16/29 377,960
1,830,000 HSBC Holdings PLC (USD) (d)......................................... 2.10% 06/04/26 1,688,093
6,095,000 HSBC Holdings PLC (USD) (d)......................................... 4.76% 06/09/28 5,889,950
6,100,000 HSBC Holdings PLC (USD) (d)......................................... 2.01% 09/22/28 5,171,284
7,800,000 HSBC Holdings PLC (USD) (d)......................................... 2.21% 08/17/29 6,471,690
6,915,000 HSBC Holdings PLC (USD) (d)......................................... 2.80% 05/24/32 5,504,895
1,390,000 HSBC Holdings PLC (USD) (d)......................................... 5.40% 08/11/33 1,328,801
8,175,000 Lloyds Banking Group PLC (USD) (d).................................. 2.91% 11/07/23 8,151,626
3,000,000 Lloyds Banking Group PLC (USD) (d).................................. 3.87% 07/09/25 2,941,199
5,000,000 Lloyds Banking Group PLC (USD) (d).................................. 1.63% 05/11/27 4,425,494
3,000,000 Lloyds Banking Group PLC (USD) (d).................................. 3.57% 11/07/28 2,779,013
1,245,000 Lloyds Banking Group PLC (USD) (d).................................. 4.98% 08/11/33 1,189,620
1,285,000 Macquarie Group Ltd. (USD) (c) (d).................................. 3.19% 11/28/23 1,281,589
7,600,000 Macquarie Group Ltd. (USD) (c) (d).................................. 1.34% 01/12/27 6,662,989
4,775,000 Macquarie Group Ltd. (USD) (c) (d).................................. 2.87% 01/14/33 3,842,277
1,710,000 Macquarie Group Ltd. (USD) (c) (d).................................. 4.44% 06/21/33 1,559,299
9,800,000 NatWest Group PLC (USD) (d)......................................... 4.27% 03/22/25 9,696,883
10,775,000 Santander UK Group Holdings PLC (USD) (d)........................... 4.80% 11/15/24 10,742,767
5,545,000 Santander UK Group Holdings PLC (USD) (d)........................... 1.09% 03/15/25 5,192,571
930,000 Santander UK Group Holdings PLC (USD) (d)........................... 1.53% 08/21/26 832,502
5,250,000 Santander UK Group Holdings PLC (USD) (d)........................... 1.67% 06/14/27 4,556,728
1,735,000 Santander UK Group Holdings PLC (USD) (d)........................... 2.47% 01/11/28 1,524,169
4,700,000 UBS AG (USD), SOFR + 0.45% (c) (e).................................. 2.74% 08/09/24 4,670,012
1,200,000 UBS Group AG (USD) (c) (d).......................................... 4.70% 08/05/27 1,177,560
--------------
127,312,086
--------------

BEVERAGES -- 0.4%
7,945,000 Bacardi Ltd. (USD) (c).............................................. 4.45% 05/15/25 7,817,355
7,000,000 Becle SAB de CV (USD) (c)........................................... 2.50% 10/14/31 5,767,895
--------------
13,585,250
--------------
COMMERCIAL SERVICES -- 0.1%
2,800,000 DP World Crescent Ltd. (USD) (c).................................... 4.85% 09/26/28 2,852,038
--------------

COMPUTERS -- 0.1%
1,790,000 Lenovo Group Ltd. (USD) (c)......................................... 6.54% 07/27/32 1,780,767
--------------

DIVERSIFIED FINANCIAL SERVICES -- 0.6%
1,000,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(USD)............................................................ 3.50% 01/15/25 957,291
1,296,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(USD)............................................................ 4.45% 10/01/25 1,256,560

See Notes to Financial Statements Page 39

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

DIVERSIFIED FINANCIAL SERVICES (CONTINUED)
14,200,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(USD)............................................................ 3.00% 10/29/28 $ 12,104,009
1,755,000 Avolon Holdings Funding Ltd. (USD) (c).............................. 2.88% 02/15/25 1,611,729
670,000 Avolon Holdings Funding Ltd. (USD) (c).............................. 3.25% 02/15/27 580,983
5,256,000 Avolon Holdings Funding Ltd. (USD) (c).............................. 2.53% 11/18/27 4,304,463
850,000 Park Aerospace Holdings Ltd. (USD) (c).............................. 4.50% 03/15/23 845,335
467,000 Park Aerospace Holdings Ltd. (USD) (c).............................. 5.50% 02/15/24 461,597
--------------
22,121,967
--------------

ELECTRIC -- 0.0%
1,200,000 Empresas Publicas de Medellin ESP (USD) (p)......................... 4.38% 02/15/31 961,566
250,000 Mong Duong Finance Holdings B.V. (USD) (p).......................... 5.13% 05/07/29 206,723
--------------
1,168,289
--------------

ENGINEERING & CONSTRUCTION -- 0.1%
4,335,000 Heathrow Funding Ltd., Medium-Term Note (EUR) (p)................... 1.88% 03/14/34 3,411,854
--------------

FOOD -- 0.3%
150,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 5.50% 01/15/30 150,083
1,505,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 3.75% 12/01/31 1,320,750
2,115,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 3.00% 05/15/32 1,751,950
3,000,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 4.38% 02/02/52 2,378,501
4,015,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (c)........................................................ 6.50% 12/01/52 4,253,611
--------------
9,854,895
--------------

INTERNET -- 0.1%
2,775,000 Tencent Holdings Ltd. (USD) (c)..................................... 3.98% 04/11/29 2,618,650
3,290,000 Tencent Holdings Ltd. (USD) (c)..................................... 3.84% 04/22/51 2,453,034
--------------
5,071,684
--------------

MINING -- 0.0%
600,000 Indonesia Asahan Aluminium Persero PT (USD) (c)..................... 5.45% 05/15/30 589,632
--------------

MISCELLANEOUS MANUFACTURING -- 0.1%
4,789,000 GE Capital International Funding Co. Unlimited Co. (USD)............ 4.42% 11/15/35 4,548,718
--------------

OIL & GAS -- 0.6%
840,000 Ecopetrol S.A. (USD)................................................ 6.88% 04/29/30 781,775
1,383,000 KazMunayGas National Co. JSC (USD) (p).............................. 5.38% 04/24/30 1,294,621
1,200,000 KazMunayGas National Co. JSC (USD) (c).............................. 3.50% 04/14/33 948,271
2,504,000 Pertamina Persero PT (USD) (c)...................................... 3.10% 08/27/30 2,234,330
2,430,000 Petroleos Mexicanos (USD)........................................... 6.75% 09/21/47 1,535,165
3,310,000 Petroleos Mexicanos (USD)........................................... 7.69% 01/23/50 2,283,966
1,705,000 Petroleos Mexicanos (USD)........................................... 6.95% 01/28/60 1,073,340
1,113,000 Petronas Capital Ltd. (USD) (c)..................................... 3.50% 04/21/30 1,070,932
1,650,000 Petronas Capital Ltd. (USD) (c)..................................... 2.48% 01/28/32 1,441,767
1,400,000 Qatar Energy (USD) (p).............................................. 2.25% 07/12/31 1,223,776

Page 40 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

OIL & GAS (CONTINUED)
1,800,000 Saudi Arabian Oil Co. (USD) (p)..................................... 1.63% 11/24/25 $ 1,672,200
452,375 Transocean Poseidon Ltd. (USD) (c).................................. 6.88% 02/01/27 426,759
3,600,000 Transocean Proteus Ltd. (USD) (c)................................... 6.25% 12/01/24 3,503,826
--------------
19,490,728
--------------

PACKAGING & CONTAINERS -- 0.1%
1,000,000 Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.
(USD) (c)........................................................ 5.25% 08/15/27 724,740
3,000,000 Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.
(USD) (c)........................................................ 5.25% 08/15/27 2,174,218
2,500,000 Trivium Packaging Finance B.V. (USD) (c)............................ 5.50% 08/15/26 2,404,225
--------------
5,303,183
--------------

PHARMACEUTICALS -- 0.0%
1,859,000 Endo Dac / Endo Finance LLC / Endo Finco, Inc.
(USD) (f) (g) (h)................................................ 6.00% 06/30/28 106,893
--------------

PIPELINES -- 0.1%
1,729,548 Galaxy Pipeline Assets Bidco Ltd. (USD) (c)......................... 2.16% 03/31/34 1,513,465
800,000 Southern Gas Corridor CJSC (USD) (p)................................ 6.88% 03/24/26 844,064
--------------
2,357,529
--------------

REAL ESTATE -- 0.0%
500,000 Vonovia SE (EUR) (p)................................................ 1.50% 06/14/41 308,182
--------------

REAL ESTATE INVESTMENT TRUSTS -- 0.0%
1,000,000 Ascendas Real Estate Investment Trust, Medium-Term Note
(EUR) (p)........................................................ 0.75% 06/23/28 804,337
--------------

RETAIL -- 0.1%
100,000 Alimentation Couche-Tard, Inc. (USD) (c)............................ 3.55% 07/26/27 94,039
4,230,000 Alimentation Couche-Tard, Inc. (USD) (c)............................ 3.80% 01/25/50 3,180,042
--------------
3,274,081
--------------

SAVINGS & LOANS -- 0.3%
6,645,000 Nationwide Building Society (USD) (c) (d)........................... 3.77% 03/08/24 6,621,576
1,300,000 Nationwide Building Society (USD) (c) (d)........................... 4.36% 08/01/24 1,290,985
4,055,000 Nationwide Building Society (USD) (c) (d)........................... 2.97% 02/16/28 3,662,403
--------------
11,574,964
--------------

SEMICONDUCTORS -- 0.0%
1,000,000 TSMC Global Ltd. (USD) (c).......................................... 4.63% 07/22/32 1,005,028
--------------

TELECOMMUNICATIONS -- 0.4%
200,000 C&W Senior Financing DAC (USD) (c).................................. 6.88% 09/15/27 177,805
2,000,000 Intelsat Jackson Holdings S.A. (USD) (g)............................ 5.50% 08/01/23 23,020
3,860,000 Intelsat Jackson Holdings S.A. (USD) (c) (g)........................ 8.50% 10/15/24 44,737
390,000 Intelsat Jackson Holdings S.A. (USD) (c) (g)........................ 9.75% 07/15/25 4,489
4,513,000 Intelsat Jackson Holdings S.A. (USD) (c) (g)........................ 6.50% 03/15/30 4,102,227
500,000 SES S.A. (USD) (c).................................................. 3.60% 04/04/23 494,362
5,640,000 Vodafone Group PLC (USD)............................................ 5.25% 05/30/48 5,231,706
1,477,000 Vodafone Group PLC (USD)............................................ 4.88% 06/19/49 1,333,198

See Notes to Financial Statements Page 41

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

TELECOMMUNICATIONS (CONTINUED)
1,375,000 Vodafone Group PLC (USD)............................................ 4.25% 09/17/50 $ 1,130,187
--------------
12,541,731
--------------

TRANSPORTATION -- 0.0%
726,000 Empresa de Transporte de Pasajeros Metro S.A. (USD) (c)............. 3.65% 05/07/30 672,959
--------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES........................................................ 259,271,381
(Cost $289,827,930) --------------

PRINCIPAL STATED
VALUE DESCRIPTION RATE (q) MATURITY (r) VALUE
-------------- -------------------------------------------------------------------- ----------- ------------ --------------
SENIOR FLOATING-RATE LOAN INTERESTS -- 2.1%

AIRLINES -- 0.0%
$ 384,105 United Airlines, Inc., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75%
Floor............................................................ 6.53% 04/21/28 372,798
--------------

CABLE AND SATELLITE -- 0.1%
932,500 DIRECTV Financing LLC, Term Loan, 1 Mo. LIBOR + 5.00%,
0.75% Floor...................................................... 7.52% 08/02/27 890,304
2,314,031 EagleView Technology Corp., Term Loan B, 3 Mo. LIBOR + 3.50%,
0.00% Floor...................................................... 5.75% 08/14/25 2,168,247
725,000 Virgin Media Bristol LLC, Term Loan N, 1 Mo. LIBOR + 2.50%,
0.00% Floor...................................................... 4.89% 01/31/28 707,781
--------------
3,766,332
--------------

CONSUMER PRODUCTS -- 0.1%
131,444 AI Aqua Merger Sub, Inc., Delayed Draw Term Loan, 1 Mo. CME
Term SOFR + 4.00%, 0.50% Floor................................... 6.52% 07/30/28 126,241
578,352 AI Aqua Merger Sub, Inc., Term Loan B, 1 Mo. CME Term SOFR +
4.00%, 0.50% Floor............................................... 6.52% 07/30/28 555,461
833,170 Sunshine Luxembourg VII, Term Loan B, 1 Mo. LIBOR + 3.75%,
0.75% Floor...................................................... 6.00% 10/02/26 801,410
2,577,031 Zep, Inc., Term Loan B, 1 Yr. LIBOR + 4.00%, 1.00% Floor............ 7.67% 08/11/24 2,242,017
--------------
3,725,129
--------------

ENTERTAINMENT -- 0.1%
1,676,348 Caesars Resort Collection LLC, Term Loan B, 3 Mo. LIBOR +
2.75%, 0.00% Floor............................................... 5.27% 12/22/24 1,652,728
--------------

FINANCE COMPANIES -- 0.2%
4,949,749 Avolon TLB Borrower 1 (U.S.) LLC, Term Loan B, 1 Mo. LIBOR +
2.25%, 0.50% Floor............................................... 4.62% 12/01/27 4,859,416
1,450,000 Setanta Airecraft Leasing DAC, Term Loan B, 3 Mo. LIBOR +
2.00%, 0.00% Floor............................................... 4.25% 11/05/28 1,422,812
--------------
6,282,228
--------------

FOOD AND BEVERAGE -- 0.0%
509,030 Hostess Brands LLC, Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75%
Floor............................................................ 4.77% - 5.06% 08/03/25 501,181
1,364 Naked Juice LLC, Delayed Draw Term Loan, 1 Mo. CME Term
SOFR + 3.25%, 0.50% Floor........................................ 5.67% 01/24/29 1,306

Page 42 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

FOOD AND BEVERAGE (CONTINUED)
$ 544,432 Naked Juice LLC, Term Loan, 3 Mo. CME Term SOFR + 3.25%,
0.50% Floor...................................................... 5.40% 01/24/29 $ 521,098
--------------
1,023,585
--------------

HEALTHCARE -- 0.3%
2,123,125 ADMI Corp., Term Loan B, 1 Mo. LIBOR + 3.38%, 0.50% Floor........... 5.90% 12/23/27 1,952,893
224,577 Change Healthcare Holdings LLC, Term Loan B, 3 Mo. LIBOR +
2.50%, 1.00% Floor............................................... 5.02% 03/01/24 222,987
124,369 Gainwell Acquisition Corp., Term Loan B, 3 Mo. LIBOR + 4.00%,
0.75% Floor...................................................... 6.25% 10/01/27 121,338
3,597,046 Grifols Worldwide Operations Ltd., Term Loan B, 1 Mo. LIBOR +
2.00%, 0.00% Floor............................................... 4.52% 11/15/27 3,473,164
598,500 Mozart Borrower L.P., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50%
Floor............................................................ 5.77% 10/21/28 569,963
1,450,833 Pathway Vet Alliance LLC, Term Loan A, 1 Mo. LIBOR + 3.75%,
0.00% Floor...................................................... 6.00% 03/31/27 1,366,622
1,995,000 Phoenix Newco, Inc., Term Loan, 1 Mo. LIBOR + 3.25%, 0.50%
Floor............................................................ 5.77% 11/15/28 1,940,125
--------------
9,647,092
--------------

INFORMATION TECHNOLOGY -- 0.0%
352,402 Asurion LLC (fka Asurion Corp.), Term Loan B, 1 Mo. LIBOR +
3.25%, 0.00% Floor............................................... 5.77% 12/23/26 322,197
--------------

INSURANCE -- 0.2%
1,144,148 Acrisure LLC, Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00%
Floor............................................................ 6.02% 02/15/27 1,093,851
4,925,029 AmWINS Group, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.75%
Floor............................................................ 4.77% 02/19/28 4,803,036
--------------
5,896,887
--------------

LEISURE -- 0.1%
3,510,570 Cineworld Group PLC (Crown), Priority Term Loan B-1, Fixed Rate
at 15.25% (s).................................................... 15.25% 05/23/24 4,035,506
--------------

MEDIA ENTERTAINMENT -- 0.0%
938,053 Diamond Sports Group LLC, Term Loan B, 1 Mo. CME Term SOFR
+ 3.25%, 0.00% Floor............................................. 5.95% 08/24/26 168,268
--------------

MEDICAL EQUIPMENT & DEVICES -- 0.1%
2,504,858 Avantor Funding, Inc., Term Loan B, 1 Mo. LIBOR + 2.25%, 0.50%
Floor............................................................ 4.77% 11/06/27 2,460,246
--------------

PACKAGING -- 0.1%
1,273,386 Berry Global, Inc., Term Loan Z, 1 Mo. LIBOR + 1.75%, 0.00%
Floor............................................................ 4.18% 07/01/26 1,243,346
1,526,750 Plaze, Inc., Term Loan B, 1 Mo. CME Term SOFR + 3.75%, 0.75%
Floor............................................................ 6.26% 08/03/26 1,450,413
2,201,973 Proampac PG Borrower LLC, Term Loan B, 1 Mo. LIBOR + 3.75%,
0.75% Floor...................................................... 6.03% - 6.73% 11/03/25 2,137,741
--------------
4,831,500
--------------

PHARMACEUTICALS -- 0.3%
1,617,144 Elanco Animal Health, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%,
0.00% Floor...................................................... 4.12% 08/01/27 1,559,282

See Notes to Financial Statements Page 43

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

PHARMACEUTICALS (CONTINUED)
$ 1,795,625 Horizon Therapeutics USA, Inc., Term Loan B, 1 Mo. LIBOR +
1.75%, 0.50% Floor............................................... 4.31% 03/15/28 $ 1,747,520
2,351,250 Jazz Financing LUX S.A.R.L., Term Loan B, 1 Mo. LIBOR +
3.50%, 0.50% Floor............................................... 6.02% 05/05/28 2,303,379
2,492,413 Organon & Co., Term Loan, 1 Mo. LIBOR + 3.00%, 0.50% Floor.......... 4.63% 06/02/28 2,461,258
750,000 Perrigo Investments LLC, Term Loan B, 1 Mo. CME Term SOFR +
2.50%, 0.50% Floor............................................... 4.91% 04/20/29 742,500
--------------
8,813,939
--------------

SERVICES -- 0.0%
1,673,813 Spin Holdco, Inc., Term Loan, 1 Mo. LIBOR + 4.00%, 0.75%
Floor............................................................ 5.61% 03/04/28 1,569,199
--------------

TECHNOLOGY -- 0.3%
337,068 Central Parent Inc., Term Loan, 1 Mo. CME Term SOFR + 4.50%,
0.50% Floor...................................................... 6.61% 07/06/29 328,125
3,949,239 Commscope, Inc., Term Loan B2, 3 Mo. LIBOR + 3.25%, 0.00%
Floor............................................................ 5.77% 04/04/26 3,780,172
145,588 DTI Holdco Inc., Term Loan B, 1 Mo. CME Term SOFR + 4.75%,
0.75% Floor...................................................... 7.33% 04/26/29 138,543
770,000 Entegris, Inc., Term Loan B, 1 Mo. CME Term SOFR + 3.00%,
0.00% Floor...................................................... 5.46% - 5.60% 07/06/29 767,528
3,300,000 NortonLifeLock, Inc., Tern Loan B, 1 Mo. CME Term SOFR +
2.00%, 0.50% Floor............................................... 4.52% 01/28/29 3,196,875
3,960,952 Waystar Technologies, Inc., Term Loan B, 1 Mo. LIBOR + 4.00%,
0.00% Floor...................................................... 6.52% 10/23/26 3,870,167
--------------
12,081,410
--------------

WIRELINES -- 0.2%
5,703,675 Level 3 Financing, Inc., Term Loan B, 1 Mo. LIBOR + 1.75%,
0.00% Floor...................................................... 4.27% 03/01/27 5,437,826
1,817,515 Zayo Group Holdings, Inc., Term Loan B, 1 Mo. CME Term SOFR
+ 4.25%, 0.50% Floor............................................. 6.71% 03/09/27 1,708,519
--------------
7,146,345
--------------
TOTAL SENIOR FLOATING-RATE LOAN INTERESTS...................................................... 73,795,389
(Cost $76,303,262) --------------

BAHRAIN -- 0.0%
1,600,000 Bahrain Government International Bond (USD) (p)..................... 7.00% 01/26/26 1,649,278
--------------

BRAZIL -- 0.1%
650,000 Brazilian Government International Bond (USD)....................... 2.88% 06/06/25 621,507
600,000 Brazilian Government International Bond (USD)....................... 4.63% 01/13/28 576,652
3,830,000 Brazilian Government International Bond (USD)....................... 3.88% 06/12/30 3,350,535
--------------
4,548,694
--------------

Page 44 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

CHILE -- 0.1%
2,800,000 Chile Government International Bond (USD)........................... 3.24% 02/06/28 $ 2,615,679
300,000 Chile Government International Bond (USD)........................... 2.55% 01/27/32 250,742
--------------
2,866,421
--------------

COLOMBIA -- 0.1%
850,000 Colombia Government International Bond (USD)........................ 4.50% 01/28/26 805,861
2,885,000 Colombia Government International Bond (USD)........................ 3.00% 01/30/30 2,235,663
--------------
3,041,524
--------------

DOMINICAN REPUBLIC -- 0.1%
2,485,000 Dominican Republic International Bond (USD) (c)..................... 4.50% 01/30/30 2,095,194
1,480,000 Dominican Republic International Bond (USD) (p)..................... 4.88% 09/23/32 1,199,757
--------------
3,294,951
--------------

EGYPT -- 0.1%
1,300,000 Egypt Government International Bond (USD) (p)....................... 5.25% 10/06/25 1,112,484
1,200,000 Egypt Government International Bond (USD) (c)....................... 7.60% 03/01/29 948,918
--------------
2,061,402
--------------

GUATEMALA -- 0.0%
500,000 Guatemala Government Bond (USD) (p)................................. 3.70% 10/07/33 406,205
--------------

HONG KONG -- 0.1%
5,020,000 Airport Authority Hong Kong (USD) (c)............................... 3.25% 01/12/52 3,967,740
--------------

HUNGARY -- 0.1%
3,130,000 Hungary Government International Bond (USD) (c)..................... 2.13% 09/22/31 2,301,270
--------------

INDONESIA -- 0.1%
957,000 Indonesia Government International Bond (USD)....................... 2.85% 02/14/30 884,626
2,600,000 Perusahaan Penerbit SBSN Indonesia III (USD) (c).................... 2.80% 06/23/30 2,346,786
--------------
3,231,412
--------------

MEXICO -- 0.2%
2,000,000 Mexico Government International Bond (USD).......................... 3.75% 01/11/28 1,930,303
5,772,000 Mexico Government International Bond (USD).......................... 2.66% 05/24/31 4,802,960
--------------
6,733,263
--------------

OMAN -- 0.1%
1,700,000 Oman Government International Bond (USD) (p)........................ 5.63% 01/17/28 1,678,599
--------------

PANAMA -- 0.1%
3,683,000 Panama Government International Bond (USD).......................... 3.16% 01/23/30 3,249,321
500,000 Panama Government International Bond (USD).......................... 2.25% 09/29/32 390,209
--------------
3,639,530
--------------

PARAGUAY -- 0.1%
1,900,000 Paraguay Government International Bond (USD) (c).................... 4.95% 04/28/31 1,835,248
2,397,000 Paraguay Government International Bond (USD) (c).................... 2.74% 01/29/33 1,903,085
--------------
3,738,333
--------------

See Notes to Financial Statements Page 45

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

PERU -- 0.1%
4,775,000 Peruvian Government International Bond (USD)........................ 2.84% 06/20/30 $ 4,163,442
560,000 Peruvian Government International Bond (USD)........................ 2.78% 01/23/31 478,230
--------------
4,641,672
--------------

PHILIPPINES -- 0.0%
1,570,000 Philippine Government International Bond (USD)...................... 2.46% 05/05/30 1,415,034
240,000 Philippine Government International Bond (USD)...................... 1.65% 06/10/31 199,511
--------------
1,614,545
--------------

QATAR -- 0.1%
2,874,000 Qatar Government International Bond (USD) (p)....................... 4.50% 04/23/28 3,001,936
--------------
ROMANIA -- 0.1%
3,000,000 Romanian Government International Bond (USD) (p).................... 3.00% 02/14/31 2,399,748
--------------

SAUDI ARABIA -- 0.1%
460,000 Saudi Government International Bond (USD) (p)....................... 3.25% 10/26/26 454,542
2,440,000 Saudi Government International Bond (USD) (p)....................... 3.63% 03/04/28 2,430,533
--------------
2,885,075
--------------

SOUTH AFRICA -- 0.1%
2,874,000 Republic of South Africa Government International Bond (USD)........ 4.85% 09/30/29 2,554,210
1,750,000 Republic of South Africa Government International Bond (USD)........ 5.88% 04/20/32 1,563,188
--------------
4,117,398
--------------

TURKEY -- 0.0%
1,200,000 Turkey Government International Bond (USD).......................... 3.25% 03/23/23 1,182,727
--------------

UNITED ARAB EMIRATES -- 0.0%
787,000 Abu Dhabi Government International Bond (USD) (p)................... 2.50% 09/30/29 734,267
--------------

URUGUAY -- 0.1%
3,260,000 Uruguay Government International Bond (USD)......................... 4.38% 01/23/31 3,345,121
--------------
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES........................................................ 67,081,111
(Cost $78,045,649) --------------

$ 52,905,000 Federal Home Loan Banks............................................. 1.04% 06/14/24 50,434,555
(Cost $52,905,000) --------------

MUNICIPAL BONDS -- 1.0%

CALIFORNIA -- 0.3%
3,960,000 City of San Francisco CA Public Utilities Commission Water Rev...... 2.83% 11/01/41 3,123,535
2,085,000 Los Angeles CA Unif Sch Dist Build America Bonds.................... 5.75% 07/01/34 2,276,492
595,000 Los Angeles CA Unif Sch Dist Build America Bonds.................... 6.76% 07/01/34 695,450
4,715,000 Regents of the Univ of CA Medical Center Pooled Rev................. 3.26% 05/15/60 3,483,965
--------------
9,579,442
--------------

Page 46 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

MASSACHUSETTS -- 0.0%
$ 1,845,000 Massachusetts Sch Bldg Auth......................................... 2.97% 10/15/32 $ 1,662,849
--------------

MICHIGAN -- 0.0%
1,815,000 Univ of Michigan.................................................... 3.50% 04/01/52 1,572,460
--------------

NEW JERSEY -- 0.1%
2,000,000 NJ St Turnpike Auth Rev............................................. 1.86% 01/01/31 1,654,695
500,000 NJ St Turnpike Auth Rev............................................. 3.73% 01/01/36 457,382
--------------
2,112,077
--------------

NEW YORK -- 0.6%
2,285,000 City of New York NY................................................. 3.62% 04/01/31 2,159,549
3,620,000 City of New York NY................................................. 1.92% 08/01/31 2,964,962
1,225,000 Metro Transprtn Auth NY Reb Txbl Green Bonds, Ser C2................ 5.18% 11/15/49 1,222,233
400,000 New York City NY Transitional Fin Auth Rev Qualified Sch Constr,
Ser BD G-3....................................................... 5.27% 05/01/27 421,038
970,000 New York City NY Transitional Fin Auth Rev, Ser A-3................. 3.96% 08/01/32 924,900
6,940,000 New York City NY Transitional Fin Auth Rev, Ser B-3................. 1.85% 08/01/32 5,464,033
5,140,000 New York State Urban Development Corp............................... 2.97% 03/15/34 4,462,678
2,690,000 NY St Dorm Auth..................................................... 5.00% 03/15/24 2,734,579
1,405,000 NY St Dorm Auth..................................................... 2.96% 02/15/32 1,259,253
--------------
21,613,225
--------------
TOTAL MUNICIPAL BONDS.......................................................................... 36,540,053
(Cost $43,623,493) --------------

SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
COMMON STOCKS -- 0.0%

TELECOMMUNICATIONS --0.0%
59,704 Intelsat Jackson Emergence S.A. (k) (l) (t) (u)................................................ 0
(Cost $2,000,073) --------------

RIGHTS -- 0.0%

TELECOMMUNICATIONS -- 0.0%
6,253 Intelsat Jackson Holdings S.A., Series A (k) (l) (t) (u)....................................... 0
6,253 Intelsat Jackson Holdings S.A., Series B (k) (l) (t) (u)....................................... 0
--------------
TOTAL RIGHTS................................................................................... 0
(Cost $0) --------------

MONEY MARKET FUNDS -- 1.9%

65,561,759 JPMorgan 100% U.S. Treasury Securities Money Market Fund - Institutional Class - 1.87% (v)..... 65,561,759
(Cost $65,561,759) --------------

TOTAL INVESTMENTS -- 117.8%.................................................................... 4,179,978,378
(Cost $4,497,824,224) --------------

See Notes to Financial Statements Page 47

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

NUMBER OF NOTIONAL EXERCISE EXPIRATION
CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE
-------------- ---------------------------------------------------- -------------- ----------- ------------ --------------
PURCHASED OPTIONS -- 0.0%

CALL OPTIONS PURCHASED -- 0.0%
648 Eurodollar 1-Year Mid-Curve Options Futures
Call............................................. $ 155,641,500 $ 98.38 09/16/22 $ 4,050
1,403 Eurodollar 1-Year Mid-Curve Options Futures
Call............................................. 336,983,063 98.75 09/16/22 8,769
--------------
TOTAL PURCHASED OPTIONS........................................................................ 12,819
(Cost $1,113,442) --------------

WRITTEN OPTIONS -- (0.0)%

CALL OPTIONS WRITTEN -- (0.0)%
(3,185) Eurodollar 1-Year Mid-Curve Options Futures
Call............................................. (764,997,188) 99.00 09/16/22 (19,906)
(Premiums received $1,053,958) --------------
NET OTHER ASSETS AND LIABILITIES -- (17.8)%.................................................... (631,528,313)
--------------
NET ASSETS -- 100.0%........................................................................... $3,548,442,978
==============

FORWARD FOREIGN CURRENCY CONTRACTS AT AUGUST 31, 2022 (See Note 2E - Forward Foreign Currency Contracts in the Notes to Financial
Statements):

PURCHASE VALUE SALE VALUE UNREALIZED
SETTLEMENT AMOUNT AMOUNT AS OF AS OF APPRECIATION
DATE COUNTERPARTY PURCHASED SOLD 8/31/2022 8/31/2022 (DEPRECIATION)
-------------- -------------- ----------------- ------------------ ---------------- ---------------- --------------

10/07/2022 Citi EUR 509,000 USD 511,183 $ 512,811 $ 511,183 $ 1,628
10/07/2022 Citi USD 3,956,715 EUR 3,734,000 3,956,715 3,761,957 194,758
10/07/2022 Citi USD 1,815,511 EUR 1,792,000 1,815,511 1,805,417 10,094
10/07/2022 Citi USD 847,721 EUR 823,000 847,721 829,162 18,559
10/07/2022 GSIL USD 1,837,416 EUR 1,798,000 1,837,416 1,811,462 25,954
10/07/2022 GSIL USD 340,121 EUR 332,000 340,121 334,485 5,636
10/07/2022 GSIL USD 492,617 EUR 483,000 492,617 486,616 6,001
--------------
Net Unrealized Appreciation (Depreciation) $ 262,630
==============

Counterparty Abbreviations:
Citi - Citibank N.A.
GSIL - Goldman Sachs International, London

FUTURES CONTRACTS AT AUGUST 31, 2022 (See Note 2D - Futures Contracts in the Notes to Financial Statements):

UNREALIZED
APPRECIATION
NUMBER OF (DEPRECIATION)/
FUTURES CONTRACTS POSITION CONTRACTS EXPIRATION DATE NOTIONAL VALUE VALUE
---------------------------------- -------------- --------------- ------------------ ----------------- --------------

U.S. 2-Year Treasury Notes Long 3,076 Dec-2022 $ 640,817,316 $ (1,258,934)
Ultra U.S. Treasury Bond Futures Long 64 Dec-2022 9,568,000 (14,298)
U.S. 5-Year Treasury Notes Short 304 Dec-2022 (33,689,375) 128,550
Ultra 10-Year U.S. Treasury Notes Short 705 Dec-2022 (88,257,188) 661,008
-------------- --------------
$ 528,438,753 $ (483,674)
============== ==============

Page 48 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

INTEREST RATE SWAP AGREEMENTS AT AUGUST 31, 2022 (See Note 2F - Swap Agreements in the Notes to Financial Statements):

UNREALIZED
APPRECIATION
EXPIRATION NOTIONAL (DEPRECIATION)/
COUNTERPARTY FLOATING RATE DATE VALUE FIXED RATE VALUE
--------------------------------- ---------------- --------------- ------------------ ----------------- --------------

Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 $ 117,450,000 1.026%(1) $ (5,446,928)
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 86,880,000 1.034%(1) (4,016,291)
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 58,725,000 1.073%(1) (2,672,213)
Citibank, Global Markets, Inc. 3 month LIBOR(2) 09/28/2025 145,575,000 1.390%(2) (5,477,696)
Citibank, Global Markets, Inc. 3 month LIBOR(3) 07/24/2053 9,810,000 1.773%(3) 2,195,524
Citibank, Global Markets, Inc. 3 month LIBOR(3) 07/24/2053 7,260,000 1.785%(3) 1,607,101
Citibank, Global Markets, Inc. 3 month LIBOR(3) 07/24/2053 4,905,000 1.808%(3) 1,064,238
Citibank, Global Markets, Inc. 3 month LIBOR(4) 09/28/2053 12,425,000 1.870%(4) 2,496,033
JPMorgan Chase and Co. SOFR(5) 06/10/2024 249,860,000 1.950%(5) (7,026,244)
-------------- --------------
$ 692,890,000 $ (17,276,476)
============== ==============

(1) The Fund pays the floating rate and receives the fixed rate. The floating
rate is not effective until 07/24/2023 and no interest is being accrued
until that date.

(2) The Fund pays the floating rate and receives the fixed rate. The floating
rate is not effective until 09/28/2023 and no interest is being accrued
until that date.

(3) The Fund pays the fixed rate and receives the floating rate. The floating
rate is not effective until 07/24/2023 and no interest is being accrued
until that date.

(4) The Fund pays the fixed rate and receives the floating rate. The floating
rate is not effective until 09/28/2023 and no interest is being accrued
until that date.

(5) The Fund pays the floating rate and receives the fixed rate. The floating
rate is not effective until 06/14/2023 and no interest is being accrued
until that date.

(a) All or a portion of this security is part of a mortgage dollar roll
agreement (see Note 2K - Mortgage Dollar Rolls in the Notes to Financial
Statements).

(b) Security whose principal value is adjusted in accordance with changes to
the country's Consumer Price Index. Interest is calculated on the basis of
the current adjusted principal value.

(c) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A of the Securities Act
of 1933, as amended (the "1933 Act"), and may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P.
(the "Advisor"). Although market instability can result in periods of
increased overall market illiquidity, liquidity for each security is
determined based on security specific factors and assumptions, which
require subjective judgment. At August 31, 2022, securities noted as such
amounted to $830,424,922 or 23.4% of net assets.

(d) Fixed-to-floating or fixed-to-variable rate security. The interest rate
shown reflects the fixed rate in effect at August 31, 2022. At a
predetermined date, the fixed rate will change to a floating rate or a
variable rate.

(e) Floating or variable rate security.

(f) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under the 1933 Act,
and may be resold in transactions exempt from registration, normally to
qualified institutional buyers (see Note 2C - Restricted Securities in the
Notes to Financial Statements).

(g) This issuer is in default.

(h) This issuer has filed for protection in bankruptcy court.

(i) When-issued security.

(j) Zero coupon security.

(k) This security's value was determined using significant unobservable inputs
(see Note 2A - Portfolio Valuation in the Notes to Financial Statements).

(l) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures adopted by the Trust's Board of Trustees, and
in accordance with provisions of the Investment Company Act of 1940, as
amended. At August 31, 2022, securities noted as such are valued at
$22,139,634 or 0.6% of net assets.

(m) Step-up security. A security where the coupon increases or steps up at a
predetermined date.

(n) Collateral Strip Rate security. Coupon is based on the weighted net
interest rate of the investment's underlying collateral. The interest rate
resets periodically.

See Notes to Financial Statements Page 49

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

(o) Weighted Average Coupon security. Coupon is based on the blended interest
rate of the underlying holdings, which may have different coupons. The
coupon may change in any period.

(p) This security may be resold to qualified foreign investors and foreign
institutional buyers under Regulation S of the 1933 Act.

(q) Senior Floating-Rate Loan Interests ("Senior Loans") in which the Fund
invests generally pay interest at rates which are periodically
predetermined by reference to a base lending rate plus a premium. These
base lending rates are generally (i) the lending rate offered by one or
more major European banks, such as the LIBOR, (ii) the SOFR obtained from
the U.S. Department of the Treasury's Office of Financial Research, (iii)
the prime rate offered by one or more United States banks or (iv) the
certificate of deposit rate. Certain Senior Loans are subject to a LIBOR
or SOFR floor that establishes a minimum LIBOR or SOFR rate. When a range
of rates is disclosed, the Fund holds more than one contract within the
same tranche with identical LIBOR or SOFR period, spread and floor, but
different LIBOR or SOFR reset dates.

(r) Senior Loans generally are subject to mandatory and/or optional
prepayment. As a result, the actual remaining maturity of Senior Loans may
be substantially less than the stated maturities shown.

(s) The issuer will pay interest on the loans in cash and in Payment-In-Kind
("PIK") interest. Interest paid in cash will accrue at the rate of 7.00%
per annum ("Cash Interest Rate") and PIK interest will accrue on the loan
at the rate of 8.25% per annum. For the fiscal year ended August 31, 2022,
the Fund received a portion of the interest in cash and PIK interest with
a principal value of $278,912 for Cineworld Group PLC.

(t) Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be illiquid by the advisor.

(u) Non-income producing security.

(v) Rate shown reflects yield as of August 31, 2022.

LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
TBA - To-Be-Announced Security

Currency Abbreviations:
EUR - Euro
USD - United States Dollar

Page 50 See Notes to Financial Statements

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

-----------------------------
VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of August 31,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
8/31/2022 PRICES INPUTS INPUTS
--------------- -------------- --------------- --------------

U.S. Government Agency Mortgage-Backed
Securities.................................... $ 1,174,701,897 $ -- $ 1,174,701,897 $ --
U.S. Government Bonds and Notes.................. 824,815,693 -- 824,815,693 --
Corporate Bonds and Notes*....................... 816,710,176 -- 816,710,176 --
Asset-Backed Securities.......................... 432,802,340 -- 421,124,997 11,677,343
Mortgage-Backed Securities....................... 378,264,024 -- 378,264,024 --
Foreign Corporate Bonds and Notes*............... 259,271,381 -- 259,271,381 --
Senior Floating-Rate Loan Interests*............. 73,795,389 -- 73,795,389 --
Foreign Sovereign Bonds and Notes**.............. 67,081,111 -- 67,081,111 --
U.S. Government Agency Securities................ 50,434,555 -- 50,434,555 --
Municipal Bonds***............................... 36,540,053 -- 36,540,053 --
Common Stocks*................................... --**** -- -- --****
Rights*.......................................... --**** -- -- --****
Money Market Funds............................... 65,561,759 65,561,759 -- --
--------------- -------------- --------------- --------------
Total Investments................................ 4,179,978,378 65,561,759 4,102,739,276 11,677,343
Call Options Purchased........................... 12,819 12,819 -- --
Forward Foreign Currency Contracts............... 262,630 -- 262,630 --
Futures Contracts*****........................... 789,558 789,558 -- --
Interest Rate Swap Agreements.................... 7,362,896 -- 7,362,896 --
--------------- -------------- --------------- --------------
Total............................................ $ 4,188,406,281 $ 66,364,136 $ 4,110,364,802 $ 11,677,343
=============== ============== =============== ==============

LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
8/31/2022 PRICES INPUTS INPUTS
--------------- -------------- --------------- --------------
Call Options Written............................. $ (19,906) $ (19,906) $ -- $ --
Futures Contracts*****........................... (1,273,232) (1,273,232) -- --
Interest Rate Swap Agreements.................... (24,639,372) -- (24,639,372) --
--------------- -------------- --------------- --------------
Total............................................ $ (25,932,510) $ (1,293,138) $ (24,639,372) $ --
=============== ============== =============== ==============

* See Portfolio of Investments for industry breakout.
** See Portfolio of Investments for country breakout.
*** See Portfolio of Investments for state breakout.
**** Investment is valued at $0.
***** Includes cumulative appreciation/depreciation on futures contracts as
reported in the Futures Contracts table. Only the current day's variation
margin is presented on the Statements of Assets and Liabilities.

Level 3 Investments that are fair valued by the Advisor's Pricing Committee are
footnoted in the Portfolio of Investments. All Level 3 values are based on
unobservable inputs.

See Notes to Financial Statements Page 51

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS
AUGUST 31, 2022

COLLATERALIZED MORTGAGE OBLIGATIONS -- 16.9%
Adjustable Rate Mortgage Trust
$ 83,318 Series 2005-8, Class 3A21 (a).................................... 3.57% 11/25/35 $ 68,371
Ajax Mortgage Loan Trust
3,585,632 Series 2021-D, Class A, steps up to 5.00% on 02/25/25 (b) (c).... 2.00% 03/25/60 3,332,508
Alternative Loan Trust
240,007 Series 2005-16, Class A3, 1 Mo. LIBOR + 0.50% (d)................ 2.94% 06/25/35 208,836
65,984 Series 2005-76, Class 1A1, 12 Mo. Treasury Average +
1.48% (d)..................................................... 2.34% 01/25/36 61,806
687,509 Series 2005-13CB, Class A8....................................... 5.50% 05/25/35 626,051
731,282 Series 2005-65CB, Class 2A4...................................... 5.50% 12/25/35 571,140
277,771 Series 2006-33CB, Class 2A1...................................... 6.00% 11/25/36 179,312
910,052 Series 2007-15CB, Class A6....................................... 5.75% 07/25/37 629,194
460,996 Series 2007-OA6, Class A1B, 1 Mo. LIBOR + 0.40% (d).............. 2.84% 06/25/37 404,921
American Home Mortgage Assets Trust
1,231,366 Series 2006-1, Class 1A1, 1 Mo. LIBOR + 0.21% (d)................ 2.65% 05/25/46 1,101,511
1,409,076 Series 2007-1, Class A1, 12 Mo. Treasury Average + 0.70% (d)..... 1.56% 02/25/47 613,789
3,016,387 Series 2007-2, Class A1, 1 Mo. LIBOR + 0.13% (d)................. 2.57% 03/25/47 2,737,170
American Home Mortgage Investment Trust
558,785 Series 2005-4, Class 1A1, 1 Mo. LIBOR + 0.58% (d)................ 3.02% 11/25/45 507,288
APS Resecuritization Trust
14,371,866 Series 2016-3, Class 3MZ (a) (b)................................. 0.87% 09/27/46 7,691,061
Banc of America Funding Trust
700,357 Series 2007-1, Class TA3A, 1 Mo. LIBOR + 0.32% (d)............... 2.76% 01/25/37 640,562
2,284,825 Series 2007-2, Class TA4, 1 Mo. LIBOR + 0.80% (d)................ 3.24% 03/25/37 2,274,608
BCAP LLC Trust
350,419 Series 2007-AA3, Class 1A1A, 1 Mo. LIBOR + 0.42% (d)............. 2.86% 04/25/37 327,116
5,352,064 Series 2012-RR8, Class 4A6 (a) (b)............................... 2.28% 11/20/36 4,624,009
548,416 Series 2015-RR2, Class 25A3 (a) (b).............................. 2.28% 10/28/36 544,645
Bear Stearns ALT-A Trust
654,964 Series 2004-8, Class M1, 1 Mo. LIBOR + 0.92% (d)................. 3.36% 09/25/34 652,268
1,800,079 Series 2006-1, Class 21A2 (a).................................... 3.30% 02/25/36 1,424,605
Bear Stearns Mortgage Funding Trust
531,518 Series 2006-AR1, Class 1A1, 1 Mo. LIBOR + 0.42% (d).............. 2.86% 07/25/36 480,807
477,734 Series 2006-AR3, Class 1A1, 1 Mo. LIBOR + 0.18% (d).............. 2.62% 10/25/36 409,874
6,130,701 Series 2007-AR1, Class 1A1, 1 Mo. LIBOR + 0.16% (d).............. 2.60% 01/25/37 5,439,358
165,389 Series 2007-AR3, Class 1A1, 1 Mo. LIBOR + 0.14% (d).............. 2.58% 03/25/37 144,119
4,002,306 Series 2007-AR5, Class 2A2, 1 Mo. LIBOR + 0.23% (d).............. 2.67% 06/25/37 3,725,936
CIM Trust
128,437 Series 2018-R6, Class A1, 1 Mo. LIBOR + 1.08% (b) (d)............ 3.45% 09/25/58 125,737
627,695 Series 2020-R7, Class A1A (b) (e)................................ 2.25% 12/27/61 587,449
1,208,537 Series 2021-R3, Class A1A (b).................................... 1.95% 06/25/57 1,095,328
1,509,197 Series 2021-R5, Class A1A (b).................................... 2.00% 08/25/61 1,328,886
Citigroup Mortgage Loan Trust
491,830 Series 2005-8, Class 2A4A........................................ 5.50% 09/25/35 465,615
1,116,882 Series 2009-10, Class 2A2 (b).................................... 7.00% 12/25/35 890,629
Connecticut Avenue Securities Trust
3,244,000 Series 2020-R01, Class 1B1, 1 Mo. LIBOR + 3.25% (b) (d).......... 5.69% 01/25/40 3,043,101
Credit Suisse Mortgage Trust
44,287 Series 2014-2R, Class 28A1 (a) (b)............................... 3.00% 06/27/37 41,528
899,505 Series 2014-8R, Class 3A2 (a) (b)................................ 4.05% 02/27/36 848,581

Page 52 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
Credit Suisse Mortgage Trust (Continued)
$ 1,632,800 Series 2014-11R, Class 17A2, 1 Mo. LIBOR + 0.15% (b) (d)......... 2.41% 12/27/36 $ 1,548,983
5,128,921 Series 2020-RPL3, Class A1 (a) (b)............................... 2.69% 03/25/60 4,977,186
4,251,387 Series 2020-RPL6, Class A1 (b)................................... 2.69% 03/25/59 4,099,396
5,017,923 Series 2021-RP11, Class A1 (b)................................... 2.25% 10/25/61 4,448,864
3,926,410 Series 2021-RPL4, Class A1 (b)................................... 1.80% 12/27/60 3,702,079
3,765,450 Series 2022-RPL1, Class A1 (b)................................... 4.15% 04/25/61 3,671,833
3,271,775 Series 2022-RPL1 (b)............................................. 4.27% 04/25/61 3,123,054
137,509 Series 2022-RPL1 (b)............................................. 4.23% 04/25/61 131,196
Deutsche Alt-A Securities Mortgage Loan Trust
2,771,046 Series 2007-AR3, Class 2A5, 1 Mo. LIBOR + 0.40% (d).............. 2.84% 06/25/37 2,566,746
DSLA Mortgage Loan Trust
44,513 Series 2004-AR4, Class 2A1A, 1 Mo. LIBOR + 0.72% (d)............. 3.09% 01/19/45 35,899
5,146,249 Series 2005-AR3, Class 1A, 1 Mo. LIBOR + 0.52% (d)............... 2.89% 07/19/45 4,033,544
Federal Home Loan Mortgage Corporation
2,975,000 Series 2021-HQA2, Class M2, 30 Day Average SOFR +
2.05% (b) (d)................................................. 4.23% 12/25/33 2,782,281
First Horizon Alternative Mortgage Securities Trust
28,580 Series 2004-AA4, Class A1 (a).................................... 2.66% 10/25/34 28,666
1,698,005 Series 2005-AA4, Class 2A1 (a)................................... 2.80% 06/25/35 1,570,704
2,480,237 Series 2007-FA1, Class A4........................................ 6.25% 03/25/37 1,325,367
GreenPoint Mortgage Funding Trust
40,809 Series 2006-AR1, Class A1A, 1 Mo. LIBOR + 0.58% (d).............. 3.02% 02/25/36 37,125
4,332,397 Series 2006-AR6, Class A3A, 1 Mo. LIBOR + 0.44% (d).............. 2.88% 10/25/46 4,192,008
5,415,046 Series 2007-AR1, Class 2A1A, 1 Mo. LIBOR + 0.20% (d)............. 2.64% 03/25/47 4,924,007
554,098 Series 2007-AR2, Class 2A1, 1 Mo. LIBOR + 0.40% (d).............. 2.84% 05/25/37 527,443
GreenPoint MTA Trust
261,265 Series 2005-AR3, Class 1A1, 1 Mo. LIBOR + 0.48% (d).............. 2.92% 08/25/45 207,566
HarborView Mortgage Loan Trust
161,386 Series 2005-9, Class 2A1A, 1 Mo. LIBOR + 0.68% (d)............... 3.05% 06/20/35 150,096
444,709 Series 2005-9, Class 2A1C, 1 Mo. LIBOR + 0.90% (d)............... 3.27% 06/20/35 414,133
712,272 Series 2007-7, Class 1A1, 1 Mo. LIBOR + 2.00% (d)................ 3.44% 10/25/37 631,240
Headlands Residential LLC
4,240,000 Series 2021-RPL1 (b)............................................. 2.49% 09/25/26 3,962,041
HomeBanc Mortgage Trust
4,057,000 Series 2005-3, Class M4, 1 Mo. LIBOR + 1.01% (d)................. 3.45% 07/25/35 3,954,459
9,478 Series 2005-4, Class A1, 1 Mo. LIBOR + 0.54% (d)................. 2.98% 10/25/35 9,479
Impac CMB Trust
47,203 Series 2005-1, Class 1A1, 1 Mo. LIBOR + 0.52% (d)................ 2.96% 04/25/35 44,837
4,732,405 Series 2005-3, Class A1, 1 Mo. LIBOR + 0.48% (d)................. 2.92% 08/25/35 4,373,485
4,116,667 Series 2005-5, Class A1, 1 Mo. LIBOR + 0.32% (d)................. 3.08% 08/25/35 3,882,713
3,219,955 Series 2005-8, Class 1A, 1 Mo. LIBOR + 0.52% (d)................. 2.96% 02/25/36 3,060,873
Impac Secured Assets Trust
5,998,088 Series 2007-1, Class A3, 1 Mo. LIBOR + 0.48% (d)................. 2.92% 03/25/37 5,351,995
IndyMac INDX Mortgage Loan Trust
1,468,350 Series 2005-16IP, Class A1, 1 Mo. LIBOR + 0.64% (d).............. 3.08% 07/25/45 1,197,747
3,512,960 Series 2006-AR2, Class 1A1B, 1 Mo. LIBOR + 0.42% (d)............. 2.86% 04/25/46 3,110,702
469,750 Series 2006-AR4, Class A1A, 1 Mo. LIBOR + 0.42% (d).............. 2.86% 05/25/46 425,176
147,663 Series 2007-FLX2, Class A1C, 1 Mo. LIBOR + 0.19% (d)............. 2.63% 04/25/37 122,633

See Notes to Financial Statements Page 53

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
JP Morgan Alternative Loan Trust
$ 2,858,153 Series 2006-S1, Class 1A19....................................... 6.50% 03/25/36 $ 1,881,119
675,842 Series 2006-S1, Class 3A4........................................ 6.18% 03/25/36 588,448
50,974 Series 2007-S1, Class A2, 1 Mo. LIBOR + 0.68% (d)................ 3.12% 04/25/47 48,816
JP Morgan Resecuritization Trust Series
6,269,416 Series 2014-6, Class 3A2, 1 Mo. LIBOR + 0.21% (b) (d)............ 2.68% 07/27/46 5,959,439
Legacy Mortgage Asset Trust
4,101,900 Series 2020-GS2, Class A1, steps up to 5.75% on
03/26/23 (b) (c).............................................. 2.75% 03/25/60 4,098,913
Lehman Mortgage Trust
755,698 Series 2006-1, Class 1A5......................................... 5.50% 02/25/36 452,238
Lehman XS Trust
107,670 Series 2005-5N, Class 3A1A, 1 Mo. LIBOR + 0.30% (d).............. 2.74% 11/25/35 106,635
699,264 Series 2006-2N, Class 2A1, 12 Mo. Treasury Average +
2.02% (d)..................................................... 2.88% 02/25/36 630,515
3,462,836 Series 2006-4N, Class A1D1, 1 Mo. LIBOR + 0.66% (d).............. 3.10% 04/25/46 3,161,591
546,720 Series 2007-12N, Class 1A3A, 1 Mo. LIBOR + 0.40% (d)............. 2.84% 07/25/47 530,558
5,984,955 Series 2007-16N, Class 1A1, 1 Mo. LIBOR + 0.94% (d).............. 3.38% 09/25/47 5,595,183
MASTR Adjustable Rate Mortgages Trust
542,102 Series 2004-14, Class B1, 1 Mo. LIBOR + 2.15% (d)................ 4.59% 01/25/35 542,663
5,685,151 Series 2006-OA2, Class 1A1, 12 Mo. Treasury Average +
0.80% (d)..................................................... 1.66% 12/25/46 4,674,643
6,252,434 Series 2007-1, Class I1A, 1 Mo. LIBOR + 0.39% (d)................ 2.83% 01/25/47 2,564,527
3,164,770 Series 2007-1, Class I2A3, 12 Mo. Treasury Average +
0.74% (d)..................................................... 1.60% 01/25/47 3,113,502
298,080 Series 2007-2, Class A1, 1 Mo. LIBOR + 0.30% (d)................. 2.74% 03/25/47 277,829
4,700,000 Series 2007-HF2, Class A2, 1 Mo. LIBOR + 1.10% (d)............... 3.54% 09/25/37 2,249,353
Merrill Lynch Mortgage Investors Trust
111,948 Series 2003-D, Class A, 1 Mo. LIBOR + 0.62% (d).................. 3.06% 08/25/28 108,727
169,853 Series 2004-E, Class A2B, 6 Mo. LIBOR + 0.72% (d)................ 2.11% 11/25/29 161,874
Morgan Stanley Resecuritization Trust
19,104 Series 2014-R8, Class 3B1, 12 Mo. Treasury Average +
0.75% (b) (d)................................................. 1.39% 06/26/47 19,067
Nomura Resecuritization Trust
1,861,470 Series 2014-1R, Class 1A13, 1 Mo. LIBOR + 0.16% (b) (d).......... 1.84% 10/26/36 1,821,652
Opteum Mortgage Acceptance Corp Trust
5,925,043 Series 2006-1, Class 1AC1, 1 Mo. LIBOR + 0.60% (d)............... 3.04% 04/25/36 5,457,172
PHH Alternative Mortgage Trust
1,179,848 Series 2007-2, Class 1A4, 1 Mo. LIBOR + 0.60% (d)................ 3.04% 05/25/37 1,118,621
PRPM LLC
2,919,070 Series 2021-6, Class A1, steps up to 5.93% on 07/25/25 (b) (c)... 1.79% 07/25/26 2,727,538
4,362,571 Series 2021-9, Class A1, steps up to 5.36% on 10/25/24 (b) (c)... 2.36% 10/25/26 4,101,091
4,515,617 Series 2021-10, Class A1, steps up to 5.49% on 10/25/24 (b) (c).. 2.49% 10/25/26 4,241,014
RALI Trust
1,461,976 Series 2005-QO1, Class A1, 1 Mo. LIBOR + 0.30% (d)............... 2.74% 08/25/35 1,145,128
2,434,464 Series 2006-QO10, Class A1, 1 Mo. LIBOR + 0.32% (d).............. 2.76% 01/25/37 2,168,488
477,732 Series 2006-QS6, Class 1A15...................................... 6.00% 06/25/36 408,624
2,412,807 Series 2007-QA3, Class A1, 1 Mo. LIBOR + 0.20% (d)............... 2.64% 05/25/37 2,257,246
2,955,689 Series 2007-QA3, Class A2, 1 Mo. LIBOR + 0.34% (d)............... 2.78% 05/25/37 2,775,575
975,577 Series 2007-QH4, Class A1, 1 Mo. LIBOR + 0.38% (d)............... 2.82% 05/25/37 880,503

Page 54 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
RALI Trust (Continued)
$ 918,435 Series 2007-QH9, Class A1 (a).................................... 2.11% 11/25/37 $ 829,460
2,312,559 Series 2007-QS9, Class A33....................................... 6.50% 07/25/37 1,978,857
Structured Adjustable Rate Mortgage Loan Trust
16,773 Series 2005-12, Class 3A1 (a).................................... 3.04% 06/25/35 15,327
323,405 Series 2006-11, Class 1A1, 1 Mo. LIBOR + 0.32% (d)............... 2.76% 12/25/36 302,690
575,684 Series 2007-4, Class 1A1, 1 Mo. LIBOR + 0.48% (d)................ 2.92% 05/25/37 528,786
545,384 Series 2007-4, Class 1A2, 1 Mo. LIBOR + 0.44% (d)................ 2.88% 05/25/37 500,778
Structured Asset Mortgage Investments Trust
119,718 Series 2003-AR3, Class A1, 1 Mo. LIBOR + 0.68% (d)............... 3.05% 11/19/33 115,955
Structured Asset Mortgage Investments II Trust
251,035 Series 2005-AR2, Class 2A1, 1 Mo. LIBOR + 0.46% (d).............. 2.90% 05/25/45 226,237
454,562 Series 2006-AR1, Class 3A1, 1 Mo. LIBOR + 0.46% (d).............. 2.90% 02/25/36 415,235
345,197 Series 2006-AR3, Class 12A1, 1 Mo. LIBOR + 0.44% (d)............. 2.88% 05/25/36 293,193
402,868 Series 2006-AR4, Class 3A1, 1 Mo. LIBOR + 0.38% (d).............. 2.82% 06/25/36 350,939
39,093 Series 2006-AR5, Class 1A1, 1 Mo. LIBOR + 0.42% (d).............. 2.86% 05/25/36 31,009
1,678,563 Series 2006-AR6, Class 2A1, 1 Mo. LIBOR + 0.38% (d).............. 2.82% 07/25/46 1,304,099
899,898 Series 2006-AR8, Class A1A, 1 Mo. LIBOR + 0.40% (d).............. 2.84% 10/25/36 835,663
386,479 Series 2007-AR1, Class 1A1, 1 Mo. LIBOR + 0.32% (d).............. 2.76% 01/25/37 346,811
160,080 Series 2007-AR1, Class 2A1, 1 Mo. LIBOR + 0.18% (d).............. 2.62% 01/25/37 144,062
612,668 Series 2007-AR6, Class A1, 12 Mo. Treasury Average +
1.50% (d)..................................................... 2.36% 08/25/47 563,043
TBW Mortgage-Backed Trust
114,651 Series 2006-4, Class A4.......................................... 6.66% 09/25/36 112,869
WaMu Mortgage Pass-Through Certificates Trust
121,008 Series 2004-AR12, Class A2A, 1 Mo. LIBOR + 0.78% (d)............. 3.22% 10/25/44 109,415
5,235,475 Series 2005-AR15, Class A1A2, 1 Mo. LIBOR + 0.56% (d)............ 3.00% 11/25/45 4,745,223
2,413,147 Series 2006-AR3, Class A1A, 12 Mo. Treasury Average +
1.00% (d)..................................................... 1.86% 02/25/46 2,200,428
46,171 Series 2006-AR11, Class 1A, 12 Mo. Treasury Average +
0.96% (d)..................................................... 1.82% 09/25/46 39,602
2,788,436 Series 2007-OA4, Class 1A, 12 Mo. Treasury Average +
0.77% (d)..................................................... 1.63% 05/25/47 2,512,280
789,814 Series 2007-OA5, Class 1A, 12 Mo. Treasury Average +
0.75% (d)..................................................... 1.61% 06/25/47 693,549
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
2,125,493 Series 2006-AR6, Class 2A, 12 Mo. Treasury Average +
0.96% (d)..................................................... 1.82% 08/25/46 1,366,192
650,367 Series 2007-OC1, Class A4, 1 Mo. LIBOR + 0.32% (d)............... 2.76% 01/25/47 620,450
Wells Fargo Mortgage Backed Securities Trust
199,371 Series 2007-AR5, Class A1 (a).................................... 3.57% 10/25/37 182,867
--------------
213,706,586
--------------

COMMERCIAL MORTGAGE-BACKED OBLIGATIONS -- 9.6%
AREIT Trust
1,460,000 Series 2020-CRE4, Class B, 30 Day Average SOFR +
4.26% (b) (d)................................................. 6.25% 04/15/37 1,462,992
BAMLL Commercial Mortgage Securities Trust
2,975,000 Series 2020-BHP3, Class A, 1 Mo. LIBOR + 1.90% (b) (d)........... 4.29% 03/15/37 2,961,631
Banc of America Commercial Mortgage Trust
13,113,069 Series 2015-UBS7, Class XA, IO (a)............................... 0.90% 09/15/48 246,368

See Notes to Financial Statements Page 55

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COMMERCIAL MORTGAGE-BACKED OBLIGATIONS (CONTINUED)
BANK
$ 29,230,260 Series 2020-BN27, Class XA, IO (a)............................... 1.27% 04/15/63 $ 1,953,189
Bayview Commercial Asset Trust
717,097 Series 2005-4A, Class A1, 1 Mo. LIBOR + 0.45% (b) (d)............ 2.89% 01/25/36 655,350
BBCMS Mortgage Trust
2,445,000 Series 2020-BID, Class A, 1 Mo. LIBOR + 2.14% (b) (d)............ 4.53% 10/15/37 2,416,360
2,300,000 Series 2020-BID, Class C, 1 Mo. LIBOR + 3.64% (b) (d)............ 6.03% 10/15/37 2,251,479
BDS Ltd.
2,000,000 Series 2020-FL6, Class C, 30 Day Average SOFR +
2.36% (b) (d)................................................. 4.37% 09/15/35 1,943,125
1,125,000 Series 2020-FL6, Class D, 30 Day Average SOFR +
2.86% (b) (d)................................................. 4.87% 09/15/35 1,113,916
2,984,000 Series 2020-FL6, Class E, 30 Day Average SOFR +
3.36% (b) (d)................................................. 5.37% 09/15/35 2,886,131
3,061,297 Series 2021-FL8, Class A, 1 Mo. LIBOR + 0.92% (b) (d)............ 3.30% 01/18/36 2,994,745
Benchmark Mortgage Trust
1,134,102 Series 2018-B6, Class A2......................................... 4.20% 10/10/51 1,127,270
2,000,000 Series 2020-B18, Class AGNE (b).................................. 3.76% 07/15/53 1,727,724
1,810,000 Series 2020-IG2, Class UBRD (a) (b).............................. 3.63% 09/15/48 1,608,603
72,517,197 Series 2020-IG3, Class XA, IO (a) (b)............................ 0.82% 09/15/48 1,926,419
BFLD Trust
2,304,000 Series 2019-DPLO, Class A, 1 Mo. LIBOR + 1.09% (b) (d)........... 3.48% 10/15/34 2,265,829
2,385,000 Series 2020-OBRK, Class A, 1 Mo. LIBOR + 2.05% (b) (d)........... 4.44% 11/15/28 2,361,477
782,000 Series 2021-FPM, Class A, 1 Mo. LIBOR + 1.60% (b) (d)............ 3.99% 06/15/38 758,932
BLOX Trust
1,570,000 Series 2021-BLOX, Class D, 1 Mo. LIBOR + 1.75% (b) (d)........... 4.14% 09/15/26 1,493,376
BWAY Mortgage Trust
1,700,000 Series 2015-1740, Class A (b).................................... 2.92% 01/10/35 1,561,984
BX Commercial Mortgage Trust
3,420,000 Series 2020-VIV3, Class B (a) (b)................................ 3.66% 03/09/44 2,987,835
4,050,000 Series 2020-VIV4, Class A (b).................................... 2.84% 03/09/44 3,483,600
1,800,000 Series 2021-21M, Class E, 1 Mo. LIBOR + 2.17% (b) (d)............ 4.56% 10/15/36 1,701,552
3,728,247 Series 2021-XL2, Class J, 1 Mo. LIBOR + 3.89% (b) (d)............ 6.28% 10/15/38 3,547,678
1,400,000 Series 2021-VINO, Class E, 1 Mo. LIBOR + 1.95% (b) (d)........... 4.34% 05/15/38 1,309,659
2,462,000 Series 2021-VOLT, Class E, 1 Mo. LIBOR + 2.00% (b) (d)........... 4.39% 09/15/36 2,350,098
2,845,000 Series 2022-AHP, Class AS, 1 Mo. CME Term SOFR +
1.49% (b) (d)................................................. 3.80% 01/17/39 2,773,543
BX Trust
2,800,000 Series 2019-OC11, Class A (b).................................... 3.20% 12/09/41 2,486,082
2,040,000 Series 2021-BXMF, Class G, 1 Mo. LIBOR + 3.35% (b) (d)........... 5.74% 10/15/26 1,853,421
1,500,000 Series 2022-VAMF, Class E, 1 Mo. CME Term SOFR +
2.70% (b) (d)................................................. 5.01% 01/15/39 1,415,570
2,250,000 Series 2021-VIEW, Class A, 1 Mo. LIBOR + 1.28% (b) (d)........... 3.67% 06/15/36 2,185,971
BXMT Ltd.
3,375,000 Series 2020-FL3, Class A, 30 Day Average SOFR +
1.51% (b) (d)................................................. 3.50% 11/15/37 3,340,328
CAMB Commercial Mortgage Trust
3,050,000 Series 2019-LIFE, Class F, 1 Mo. LIBOR + 2.55% (b) (d)........... 4.94% 12/15/37 2,951,301
Citigroup Commercial Mortgage Trust
56,315,281 Series 2017-C4, Class XA, IO (a)................................. 1.22% 10/12/50 1,973,338

Page 56 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COMMERCIAL MORTGAGE-BACKED OBLIGATIONS (CONTINUED)
COMM Mortgage Trust
$ 717,377 Series 2012-CR1, Class B......................................... 4.61% 05/15/45 $ 715,446
853,109 Series 2012-CR4, Class XA, IO (a)................................ 1.74% 10/15/45 4
1,285,167 Series 2014-CR14, Class A2....................................... 3.15% 02/10/47 1,278,029
4,601,344 Series 2020-CBM, Class XCP, IO (a) (b)........................... 0.72% 02/10/37 61,267
21,254,000 Series 2020-SBX, Class X, IO (a) (b)............................. 0.66% 01/10/38 373,539
Credit Suisse Mortgage Trust
3,180,000 Series 2020-TMIC, Class A, 1 Mo. LIBOR + 3.00% (b) (d)........... 5.39% 12/15/35 3,154,211
2,450,000 Series 2020-TMIC, Class B, 1 Mo. LIBOR + 5.00% (b) (d)........... 7.39% 12/15/35 2,430,664
25,699,000 Series 2021-980M, Class X, IO (a) (b)............................ 1.11% 07/15/31 885,788
Csail Commercial Mortgage Trust
1,350,000 Series 2015-C2, Class C (a)...................................... 4.32% 06/15/57 1,209,361
DBWF Mortgage Trust
600,000 Series 2016-85T, Class A (b)..................................... 3.79% 12/10/36 568,427
DROP Mortgage Trust
3,280,000 Series 2021-FILE, Class B, 1 Mo. LIBOR + 1.70% (b) (d)........... 4.09% 10/15/43 3,140,055
Extended Stay America Trust
2,435,014 Series 2021-ESH, Class C, 1 Mo. LIBOR + 1.70% (b) (d)............ 4.09% 07/15/38 2,367,118
FREMF Mortgage Trust
2,282,949 Series 2019-KF64, Class B, 1 Mo. LIBOR + 2.30% (b) (d)........... 4.66% 06/25/26 2,256,680
GS Mortgage Securities Corp Trust
2,600,000 Series 2020-UPTN, Class XA, IO (a) (b)........................... 0.45% 02/10/37 21,567
GS Mortgage Securities Trust
84,796,785 Series 2016-GS4, Class XA, IO (a)................................ 0.69% 11/10/49 1,638,274
Hilton USA Trust
3,161,000 Series 2016-SFP, Class F (b)..................................... 6.16% 11/05/35 3,029,290
JP Morgan Chase Commercial Mortgage Securities Trust
37,277,073 Series 2016-JP3, Class XA, IO (a)................................ 1.52% 08/15/49 1,537,385
1,800,000 Series 2022-NLP, Class G, 1 Mo. CME Term SOFR +
4.27% (b) (d)................................................. 6.58% 04/15/37 1,670,376
Life Mortgage Trust
2,309,980 Series 2021-BMR, Class G, 1 Mo. LIBOR + 2.95% (b) (d)............ 5.34% 03/15/38 2,142,572
Med Trust
1,400,000 Series 2021-MDLN, Class G, 1 Mo. LIBOR + 5.25% (b) (d)........... 7.64% 11/15/38 1,338,878
Morgan Stanley Capital I Trust
28,223,426 Series 2018-H4, Class XA, IO (a)................................. 1.00% 12/15/51 1,107,620
1,050,000 Series 2018-MP, Class A (a) (b).................................. 4.42% 07/11/40 980,535
MSCG Trust
1,645,000 Series 2018-SELF, Class E, 1 Mo. LIBOR + 2.15% (b) (d)........... 4.54% 10/15/37 1,579,128
One Bryant Park Trust
2,800,000 Series 2019-OBP, Class A (b)..................................... 2.52% 09/15/54 2,410,927
Ready Capital Mortgage Financing LLC
1,100,000 Series 2020-FL4, Class AS, 1 Mo. LIBOR + 3.10% (b) (d)........... 5.54% 02/25/35 1,098,650
SFAVE Commercial Mortgage Securities Trust
545,000 Series 2015-5AVE, Class C (a) (b)................................ 4.53% 01/05/43 380,807
SMRT
2,730,000 Series 2022-MINI, Class F, 1 Mo. CME Term SOFR +
3.35% (b) (d)................................................. 5.66% 01/15/39 2,528,677
STWD Mortgage Trust
1,550,000 Series 2021-LIH, Class AS, 1 Mo. LIBOR + 1.26% (b) (d)........... 3.65% 11/15/36 1,488,331

See Notes to Financial Statements Page 57

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COMMERCIAL MORTGAGE-BACKED OBLIGATIONS (CONTINUED)
UBS Commercial Mortgage Trust
$ 60,819,894 Series 2017-C4, Class XA, IO (a)................................. 1.16% 10/15/50 $ 2,510,846
VMC Finance LLC
779,000 Series 2021-FL4, Class B, 1 Mo. LIBOR + 1.80% (b) (d)............ 4.18% 06/16/36 755,630
3,000,000 Series 2021-HT1, Class B, 1 Mo. LIBOR + 4.50% (b) (d)............ 6.88% 01/18/37 2,881,537
Wells Fargo Commercial Mortgage Trust
34,138,282 Series 2016-C35, Class XA, IO (a)................................ 2.04% 07/15/48 1,869,290
2,704,000 Series 2019-JWDR, Class E (a) (b)................................ 3.99% 09/15/31 2,358,730
--------------
121,846,515
--------------
TOTAL MORTGAGE-BACKED SECURITIES............................................................... 335,553,101
(Cost $348,659,172) --------------

CORPORATE BONDS AND NOTES -- 22.0%

ADVERTISING -- 0.1%
1,525,000 National CineMedia LLC (b).......................................... 5.88% 04/15/28 1,067,996
--------------

AEROSPACE/DEFENSE -- 0.1%
635,000 Boeing (The) Co..................................................... 1.43% 02/04/24 609,251
1,350,000 TransDigm, Inc...................................................... 5.50% 11/15/27 1,216,640
--------------
1,825,891
--------------

AGRICULTURE -- 0.4%
30,000 BAT Capital Corp.................................................... 2.73% 03/25/31 24,049
1,250,000 BAT Capital Corp.................................................... 4.54% 08/15/47 916,436
3,555,000 BAT Capital Corp.................................................... 5.65% 03/16/52 3,029,820
645,000 Reynolds American, Inc.............................................. 5.85% 08/15/45 555,505
--------------
4,525,810
--------------

AIRLINES -- 0.1%
300,146 American Airlines Pass-Through Trust, Series 2014-1, Class A........ 3.70% 10/01/26 257,354
541,107 JetBlue Pass-Through Trust, Series 2020-1, Class A.................. 4.00% 11/15/32 494,019
452,331 United Airlines Pass-Through Trust, Series 2013-1, Class A.......... 4.30% 08/15/25 426,042
106,315 US Airways Pass-Through Trust, Series 2012-1, Class A............... 5.90% 10/01/24 104,294
--------------
1,281,709
--------------

BANKS -- 4.9%
3,000,000 Bank of America Corp. (f)........................................... 3.00% 12/20/23 2,989,457
300,000 Bank of America Corp. (f)........................................... 2.69% 04/22/32 249,855
3,510,000 Bank of America Corp. (f)........................................... 2.30% 07/21/32 2,820,982
1,500,000 Bank of America Corp. (f)........................................... 2.57% 10/20/32 1,230,468
765,000 Bank of America Corp. (f)........................................... 2.97% 02/04/33 645,031
570,000 Bank of America Corp., Series RR (f)................................ 4.38% (g) 489,955
750,000 Bank of America Corp., Medium-Term Note (f)......................... 2.02% 02/13/26 703,918
2,665,000 Bank of America Corp., Medium-Term Note (f)......................... 1.32% 06/19/26 2,427,022
390,000 Bank of America Corp., Medium-Term Note (f)......................... 3.82% 01/20/28 374,116
815,000 Bank of America Corp., Medium-Term Note (f)......................... 2.09% 06/14/29 694,789
465,000 Bank of America Corp., Medium-Term Note (f)......................... 3.97% 02/07/30 437,496
2,530,000 Bank of America Corp., Medium-Term Note (f)......................... 1.92% 10/24/31 2,007,792
500,000 Citigroup, Inc. (f)................................................. 3.35% 04/24/25 490,498
520,000 Citigroup, Inc. (f)................................................. 3.07% 02/24/28 482,255
225,000 Citigroup, Inc. (f)................................................. 4.08% 04/23/29 214,663
525,000 Citigroup, Inc. (f)................................................. 2.98% 11/05/30 459,326

Page 58 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

BANKS (CONTINUED)
$ 315,000 Citigroup, Inc. (f)................................................. 2.67% 01/29/31 $ 266,567
1,390,000 Citigroup, Inc. (f)................................................. 4.41% 03/31/31 1,327,541
630,000 Citigroup, Inc. (f)................................................. 2.57% 06/03/31 528,468
520,000 Citigroup, Inc. (f)................................................. 2.56% 05/01/32 429,503
1,540,000 Citigroup, Inc. (f)................................................. 2.52% 11/03/32 1,249,179
3,130,000 Citigroup, Inc. (f)................................................. 3.06% 01/25/33 2,654,409
135,000 Comerica, Inc. (f).................................................. 5.63% (g) 135,650
1,615,000 Goldman Sachs Group (The), Inc. (f)................................. 0.93% 10/21/24 1,546,815
3,025,000 Goldman Sachs Group (The), Inc. (f)................................. 2.62% 04/22/32 2,498,268
4,125,000 Goldman Sachs Group (The), Inc. (f)................................. 2.65% 10/21/32 3,407,234
4,530,000 Goldman Sachs Group (The), Inc., Series D (f)....................... 2.38% 07/21/32 3,679,665
130,000 JPMorgan Chase & Co. (f)............................................ 0.70% 03/16/24 127,668
1,110,000 JPMorgan Chase & Co. (f)............................................ 0.97% 06/23/25 1,040,806
355,000 JPMorgan Chase & Co. (f)............................................ 2.01% 03/13/26 333,227
1,660,000 JPMorgan Chase & Co. (f)............................................ 1.58% 04/22/27 1,483,743
780,000 JPMorgan Chase & Co. (f)............................................ 1.47% 09/22/27 684,895
675,000 JPMorgan Chase & Co. (f)............................................ 2.95% 02/24/28 627,825
200,000 JPMorgan Chase & Co. (f)............................................ 4.01% 04/23/29 189,792
3,170,000 JPMorgan Chase & Co. (f)............................................ 2.58% 04/22/32 2,627,864
3,535,000 JPMorgan Chase & Co. (f)............................................ 2.55% 11/08/32 2,917,166
710,000 JPMorgan Chase & Co. (f)............................................ 2.96% 01/25/33 605,163
595,000 JPMorgan Chase & Co., Series KK (f)................................. 3.65% (g) 517,275
720,000 Morgan Stanley (f).................................................. 2.48% 09/16/36 556,402
3,710,000 Morgan Stanley (f).................................................. 5.30% 04/20/37 3,559,992
1,100,000 Morgan Stanley, Global Medium-Term Note (f)......................... 0.79% 01/22/25 1,044,214
2,630,000 Morgan Stanley, Global Medium-Term Note (f)......................... 2.24% 07/21/32 2,129,121
940,000 Morgan Stanley, Medium-Term Note (f)................................ 2.51% 10/20/32 772,631
555,000 US Bancorp (f)...................................................... 3.70% (g) 466,073
1,485,000 Wells Fargo & Co., Medium-Term Note (f)............................. 2.39% 06/02/28 1,333,084
5,830,000 Wells Fargo & Co., Medium-Term Note (f)............................. 3.35% 03/02/33 5,130,430
1,665,000 Wells Fargo & Co., Medium-Term Note (f)............................. 4.90% 07/25/33 1,640,850
385,000 Wells Fargo & Co., Medium-Term Note (f)............................. 5.01% 04/04/51 378,095
--------------
62,607,238
--------------

BEVERAGES -- 0.2%
775,000 Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide,
Inc.............................................................. 4.90% 02/01/46 739,009
215,000 Anheuser-Busch InBev Worldwide, Inc................................. 4.60% 04/15/48 195,969
1,335,000 Constellation Brands, Inc........................................... 4.35% 05/09/27 1,333,364
720,000 Primo Water Holdings, Inc. (b)...................................... 4.38% 04/30/29 616,695
--------------
2,885,037
--------------

BIOTECHNOLOGY -- 0.1%
1,000,000 Illumina, Inc....................................................... 2.55% 03/23/31 824,147
--------------

CHEMICALS -- 0.2%
475,000 International Flavors & Fragrances, Inc. (b)........................ 1.23% 10/01/25 427,801
175,000 Unifrax Escrow Issuer Corp. (b)..................................... 5.25% 09/30/28 140,645
625,000 Unifrax Escrow Issuer Corp. (b)..................................... 7.50% 09/30/29 458,098
1,350,000 Valvoline, Inc. (b)................................................. 4.25% 02/15/30 1,317,870
--------------
2,344,414
--------------

See Notes to Financial Statements Page 59

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COMMERCIAL SERVICES -- 0.6%
$ 436,000 Adtalem Global Education, Inc. (b).................................. 5.50% 03/01/28 $ 414,793
375,000 Carriage Services, Inc. (b)......................................... 4.25% 05/15/29 315,936
520,000 Global Payments, Inc................................................ 5.40% 08/15/32 511,498
293,000 Global Payments, Inc................................................ 5.95% 08/15/52 284,446
2,015,000 Hertz (The) Corp. (b)............................................... 5.00% 12/01/29 1,624,433
1,475,000 Prime Security Services Borrower LLC / Prime Finance, Inc. (b)...... 3.38% 08/31/27 1,271,244
1,250,000 Rent-A-Center, Inc. (b)............................................. 6.38% 02/15/29 1,056,100
215,000 S&P Global, Inc. (b)................................................ 4.75% 08/01/28 220,907
535,000 S&P Global, Inc. (b)................................................ 2.90% 03/01/32 476,307
61,000 Service Corp. International......................................... 4.63% 12/15/27 57,352
1,250,000 WASH Multifamily Acquisition, Inc. (b).............................. 5.75% 04/15/26 1,206,606
--------------
7,439,622
--------------

COMPUTERS -- 0.1%
1,875,000 NCR Corp. (b)....................................................... 5.13% 04/15/29 1,753,500
--------------

COSMETICS/PERSONAL CARE -- 0.1%
1,300,000 Edgewell Personal Care Co. (b)...................................... 5.50% 06/01/28 1,202,090
--------------

DIVERSIFIED FINANCIAL SERVICES -- 0.6%
570,000 Air Lease Corp...................................................... 3.88% 07/03/23 568,393
1,390,000 Air Lease Corp...................................................... 2.20% 01/15/27 1,223,381
300,000 Air Lease Corp., Medium-Term Note................................... 2.88% 01/15/26 277,255
605,000 American Express Co. (f)............................................ 3.55% (g) 521,661
1,505,000 Capital One Financial Corp. (f)..................................... 1.88% 11/02/27 1,329,144
1,735,000 Charles Schwab (The) Corp........................................... 1.95% 12/01/31 1,419,696
540,000 Charles Schwab (The) Corp. (f)...................................... 5.00% (g) 503,358
1,505,000 Intercontinental Exchange, Inc...................................... 4.60% 03/15/33 1,494,015
--------------
7,336,903
--------------

ELECTRIC -- 0.9%
75,000 Alliant Energy Finance LLC (b)...................................... 3.75% 06/15/23 74,565
2,045,000 Alliant Energy Finance LLC (b)...................................... 3.60% 03/01/32 1,855,138
1,285,000 American Electric Power Co., Inc.................................... 2.03% 03/15/24 1,245,774
365,000 Appalachian Power Co., Series X..................................... 3.30% 06/01/27 348,032
540,000 Duke Energy Carolinas LLC........................................... 3.55% 03/15/52 447,351
1,000,000 Duke Energy Corp.................................................... 3.75% 04/15/24 996,220
600,000 Duke Energy Corp.................................................... 3.85% 06/15/34 574,609
750,000 Duke Energy Corp.................................................... 3.75% 09/01/46 593,976
100,000 Evergy Metro, Inc................................................... 4.20% 06/15/47 89,514
290,000 Exelon Corp. (b).................................................... 3.35% 03/15/32 261,076
1,254,000 FirstEnergy Corp., Series C......................................... 3.40% 03/01/50 900,755
955,000 FirstEnergy Transmission LLC (b).................................... 2.87% 09/15/28 850,264
750,000 Jersey Central Power & Light Co. (b)................................ 4.70% 04/01/24 746,739
100,000 Metropolitan Edison Co. (b)......................................... 3.50% 03/15/23 99,840
750,000 MidAmerican Energy Co............................................... 3.95% 08/01/47 668,995
550,000 NextEra Energy Capital Holdings, Inc., 3 Mo. LIBOR +
0.27% (d)........................................................ 3.25% 02/22/23 548,811
345,000 NextEra Energy Capital Holdings, Inc................................ 0.65% 03/01/23 338,932
500,000 Pennsylvania Electric Co. (b)....................................... 4.15% 04/15/25 487,539
100,000 Puget Sound Energy, Inc............................................. 4.22% 06/15/48 89,678
450,000 Southwestern Electric Power Co., Series M........................... 4.10% 09/15/28 436,555
--------------
11,654,363
--------------

Page 60 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

ELECTRICAL COMPONENT & EQUIPMENT -- 0.1%
$ 1,122,000 Energizer Holdings, Inc. (b)........................................ 4.38% 03/31/29 $ 912,652
--------------

ENGINEERING & CONSTRUCTION -- 0.1%
1,113,000 Artera Services LLC (b)............................................. 9.03% 12/04/25 914,574
--------------

ENTERTAINMENT -- 1.0%
1,000,000 Caesars Entertainment, Inc. (b)..................................... 8.13% 07/01/27 985,190
1,140,000 Caesars Entertainment, Inc. (b)..................................... 4.63% 10/15/29 921,969
515,000 Churchill Downs, Inc. (b)........................................... 5.50% 04/01/27 494,420
600,000 Cinemark USA, Inc. (b).............................................. 5.25% 07/15/28 485,659
1,220,000 Everi Holdings, Inc. (b)............................................ 5.00% 07/15/29 1,075,372
600,000 Live Nation Entertainment, Inc. (b)................................. 4.75% 10/15/27 546,999
2,075,000 Penn Entertainment, Inc. (b)........................................ 4.13% 07/01/29 1,678,831
515,000 Warnermedia Holdings, Inc. (b)...................................... 4.28% 03/15/32 448,720
2,715,000 Warnermedia Holdings, Inc. (b)...................................... 5.05% 03/15/42 2,244,905
3,988,000 Warnermedia Holdings, Inc. (b)...................................... 5.14% 03/15/52 3,225,297
--------------
12,107,362
--------------

ENVIRONMENTAL CONTROL -- 0.1%
200,000 Clean Harbors, Inc. (b)............................................. 4.88% 07/15/27 185,746
1,953,000 Waste Pro USA, Inc. (b)............................................. 5.50% 02/15/26 1,753,403
--------------
1,939,149
--------------

FOOD -- 0.6%
1,150,000 Chobani LLC / Chobani Finance Corp., Inc. (b)....................... 4.63% 11/15/28 1,007,964
300,000 Kraft Heinz Foods Co................................................ 3.75% 04/01/30 279,032
186,000 Kraft Heinz Foods Co................................................ 4.25% 03/01/31 177,699
1,650,000 Kraft Heinz Foods Co................................................ 5.20% 07/15/45 1,558,158
240,000 Kraft Heinz Foods Co................................................ 4.38% 06/01/46 204,797
765,000 Kraft Heinz Foods Co................................................ 4.88% 10/01/49 697,901
20,000 Pilgrim's Pride Corp. (b)........................................... 5.88% 09/30/27 19,728
286,000 Pilgrim's Pride Corp. (b)........................................... 4.25% 04/15/31 246,741
1,200,000 Pilgrim's Pride Corp. (b)........................................... 3.50% 03/01/32 975,648
661,000 Post Holdings, Inc. (b)............................................. 5.75% 03/01/27 646,828
387,000 Smithfield Foods, Inc. (b).......................................... 5.20% 04/01/29 377,253
1,500,000 TreeHouse Foods, Inc................................................ 4.00% 09/01/28 1,259,865
--------------
7,451,614
--------------

FOREST PRODUCTS & PAPER -- 0.1%
755,000 Clearwater Paper Corp. (b).......................................... 4.75% 08/15/28 676,053
--------------

GAS -- 0.0%
155,000 Southern Co. Gas Capital Corp....................................... 5.88% 03/15/41 162,357
--------------

HEALTHCARE-PRODUCTS -- 0.3%
1,600,000 Alcon Finance Corp. (b)............................................. 3.00% 09/23/29 1,424,723
1,425,000 DENTSPLY SIRONA, Inc................................................ 3.25% 06/01/30 1,177,942
208,000 Hologic, Inc. (b)................................................... 4.63% 02/01/28 194,228
1,000,000 PerkinElmer, Inc.................................................... 2.25% 09/15/31 798,266
--------------
3,595,159
--------------

HEALTHCARE-SERVICES -- 1.7%
635,000 Barnabas Health, Inc., Series 2012.................................. 4.00% 07/01/28 614,383
700,000 Cano Health LLC (b)................................................. 6.25% 10/01/28 630,257
400,000 Catalent Pharma Solutions, Inc. (b)................................. 3.13% 02/15/29 332,444

See Notes to Financial Statements Page 61

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

HEALTHCARE-SERVICES (CONTINUED)
$ 900,000 Catalent Pharma Solutions, Inc. (b)................................. 3.50% 04/01/30 $ 742,500
1,125,000 Centene Corp........................................................ 4.25% 12/15/27 1,069,965
1,778,000 Centene Corp........................................................ 2.45% 07/15/28 1,502,090
1,396,000 Centene Corp........................................................ 3.00% 10/15/30 1,166,777
500,000 Centene Corp........................................................ 2.50% 03/01/31 399,690
250,000 CommonSpirit Health................................................. 3.35% 10/01/29 224,238
370,000 CommonSpirit Health................................................. 2.78% 10/01/30 311,041
90,000 HCA, Inc............................................................ 5.25% 04/15/25 90,994
380,000 HCA, Inc............................................................ 5.38% 09/01/26 381,524
360,000 HCA, Inc............................................................ 7.05% 12/01/27 386,377
417,000 HCA, Inc............................................................ 4.13% 06/15/29 385,136
1,300,000 HCA, Inc............................................................ 3.50% 09/01/30 1,135,632
2,068,000 HCA, Inc. (b)....................................................... 3.63% 03/15/32 1,794,129
1,830,000 HCA, Inc............................................................ 5.50% 06/15/47 1,697,659
470,000 HCA, Inc............................................................ 5.25% 06/15/49 421,077
2,445,000 HCA, Inc. (b)....................................................... 4.63% 03/15/52 2,034,913
365,000 HCA, Inc., Medium-Term Note......................................... 7.58% 09/15/25 393,047
100,000 Humana, Inc......................................................... 3.15% 12/01/22 99,966
700,000 Molina Healthcare, Inc. (b)......................................... 4.38% 06/15/28 646,895
919,000 Molina Healthcare, Inc. (b)......................................... 3.88% 11/15/30 796,906
325,000 Molina Healthcare, Inc. (b)......................................... 3.88% 05/15/32 280,210
1,350,000 Prime Healthcare Services, Inc. (b)................................. 7.25% 11/01/25 1,196,903
62,000 Tenet Healthcare Corp............................................... 4.63% 07/15/24 60,791
178,000 Tenet Healthcare Corp. (b).......................................... 4.63% 06/15/28 162,048
748,000 Tenet Healthcare Corp. (b).......................................... 4.25% 06/01/29 649,182
850,000 Tenet Healthcare Corp. (b).......................................... 4.38% 01/15/30 743,750
1,350,000 Universal Health Services, Inc. (b)................................. 1.65% 09/01/26 1,168,853
--------------
21,519,377
--------------

HOUSEHOLD PRODUCTS/WARES -- 0.2%
1,505,000 Clorox (The) Co..................................................... 1.80% 05/15/30 1,231,410
2,250,000 Spectrum Brands, Inc. (b)........................................... 5.50% 07/15/30 1,942,268
--------------
3,173,678
--------------

INSURANCE -- 1.0%
437,000 Acrisure LLC / Acrisure Finance, Inc. (b)........................... 4.25% 02/15/29 371,341
700,000 Acrisure LLC / Acrisure Finance, Inc. (b)........................... 6.00% 08/01/29 568,710
1,250,000 Alliant Holdings Intermediate LLC / Alliant Holdings
Co-Issuer (b).................................................... 6.75% 10/15/27 1,137,550
550,000 AmWINS Group, Inc. (b).............................................. 4.88% 06/30/29 479,411
1,060,000 Aon Corp. / Aon Global Holdings PLC................................. 3.90% 02/28/52 884,020
1,115,000 Athene Global Funding (b)........................................... 3.21% 03/08/27 1,015,702
1,560,000 Athene Global Funding (b)........................................... 1.99% 08/19/28 1,298,015
675,000 Athene Global Funding (b)........................................... 2.72% 01/07/29 574,945
975,000 Berkshire Hathaway Finance Corp..................................... 3.85% 03/15/52 844,593
810,000 Brown & Brown, Inc.................................................. 4.95% 03/17/52 725,634
250,000 Farmers Exchange Capital III (b) (f)................................ 5.45% 10/15/54 243,945
775,000 Farmers Insurance Exchange (b)...................................... 8.63% 05/01/24 817,944
465,000 Farmers Insurance Exchange (b) (f).................................. 4.75% 11/01/57 411,039
750,000 MassMutual Global Funding II (b).................................... 3.40% 03/08/26 730,424
1,360,000 Nationwide Mutual Insurance Co., 3 Mo. LIBOR + 2.29% (b) (d)........ 4.12% 12/15/24 1,360,308

Page 62 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

INSURANCE (CONTINUED)
$ 50,000 Teachers Insurance & Annuity Association of America (b)............. 4.27% 05/15/47 $ 45,276
220,000 Teachers Insurance & Annuity Association of America (b)............. 3.30% 05/15/50 168,334
1,260,000 Teachers Insurance & Annuity Association of America (b) (f)......... 4.38% 09/15/54 1,226,731
--------------
12,903,922
--------------

INTERNET -- 0.2%
600,000 Cogent Communications Group, Inc. (b)............................... 7.00% 06/15/27 574,129
1,775,000 Netflix, Inc........................................................ 5.88% 02/15/25 1,822,960
--------------
2,397,089
--------------

MACHINERY-DIVERSIFIED -- 0.1%
2,650,000 OT Merger Corp. (b)................................................. 7.88% 10/15/29 1,912,492
--------------

MEDIA -- 0.9%
1,249,000 Cable One, Inc. (b)................................................. 4.00% 11/15/30 1,042,059
2,250,000 CCO Holdings LLC / CCO Holdings Capital Corp. (b)................... 4.75% 02/01/32 1,865,183
295,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 2.30% 02/01/32 225,240
370,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.38% 05/01/47 314,709
325,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.75% 04/01/48 290,555
542,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.13% 07/01/49 441,933
1,000,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 4.80% 03/01/50 789,914
690,000 Charter Communications Operating LLC / Charter Communications
Operating Capital................................................ 5.25% 04/01/53 585,694
173,000 Cox Communications, Inc. (b)........................................ 3.15% 08/15/24 168,139
680,000 Cox Communications, Inc. (b)........................................ 2.60% 06/15/31 568,911
900,000 Cox Enterprises, Inc. (b)........................................... 7.38% 07/15/27 978,761
20,000 CSC Holdings LLC (b)................................................ 5.38% 02/01/28 18,167
1,200,000 CSC Holdings LLC (b)................................................ 4.50% 11/15/31 942,108
1,772,000 Diamond Sports Group LLC / Diamond Sports Finance Co. (b)........... 5.38% 08/15/26 338,895
450,000 Directv Financing LLC / Directv Financing Co-Obligor, Inc. (b)...... 5.88% 08/15/27 415,746
1,205,000 Gray Escrow II, Inc. (b)............................................ 5.38% 11/15/31 1,019,900
816,000 Scripps Escrow II, Inc. (b)......................................... 5.38% 01/15/31 668,875
630,000 Time Warner Cable LLC............................................... 5.88% 11/15/40 566,935
450,000 Time Warner Cable LLC............................................... 5.50% 09/01/41 388,168
390,000 Walt Disney (The) Co................................................ 4.00% 10/01/23 391,867
--------------
12,021,759
--------------

OIL & GAS -- 0.1%
1,118,000 Occidental Petroleum Corp........................................... (h) 10/10/36 583,154
800,000 Sunoco L.P. / Sunoco Finance Corp................................... 4.50% 05/15/29 681,442
196,000 Sunoco L.P. / Sunoco Finance Corp................................... 4.50% 04/30/30 167,507
--------------
1,432,103
--------------

OIL & GAS SERVICES -- 0.2%
1,336,000 Archrock Partners L.P. / Archrock Partners Finance Corp. (b)........ 6.25% 04/01/28 1,217,878
1,190,000 USA Compression Partners L.P. / USA Compression Finance
Corp............................................................. 6.88% 04/01/26 1,118,088
--------------
2,335,966
--------------

See Notes to Financial Statements Page 63

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

PACKAGING & CONTAINERS -- 0.2%
$ 58,000 Ball Corp........................................................... 4.00% 11/15/23 $ 57,464
1,830,000 Berry Global, Inc. (b).............................................. 4.88% 07/15/26 1,784,165
295,000 Berry Global, Inc................................................... 1.65% 01/15/27 254,179
58,000 Graphic Packaging International LLC................................. 4.88% 11/15/22 58,069
728,000 Graphic Packaging International LLC................................. 4.13% 08/15/24 708,861
20,000 Mauser Packaging Solutions Holding Co. (b).......................... 5.50% 04/15/24 19,387
60,000 Sealed Air Corp. (b)................................................ 5.50% 09/15/25 59,789
--------------
2,941,914
--------------

PHARMACEUTICALS -- 1.5%
725,000 180 Medical, Inc. (b)............................................... 3.88% 10/15/29 633,681
1,495,000 AbbVie, Inc......................................................... 4.55% 03/15/35 1,441,042
1,158,000 AbbVie, Inc......................................................... 4.50% 05/14/35 1,106,350
105,000 AbbVie, Inc......................................................... 4.05% 11/21/39 92,956
200,000 AbbVie, Inc......................................................... 4.45% 05/14/46 180,644
375,000 AbbVie, Inc......................................................... 4.25% 11/21/49 330,071
810,000 Bayer US Finance II LLC (b)......................................... 2.85% 04/15/25 767,886
180,000 Bayer US Finance II LLC (b)......................................... 4.25% 12/15/25 177,263
880,000 Bayer US Finance II LLC (b)......................................... 4.38% 12/15/28 848,265
265,000 Bayer US Finance II LLC (b)......................................... 4.63% 06/25/38 237,172
1,960,000 Bayer US Finance II LLC (b)......................................... 4.40% 07/15/44 1,604,483
400,000 Bayer US Finance II LLC (b)......................................... 4.88% 06/25/48 364,208
1,495,000 Becton Dickinson and Co............................................. 2.82% 05/20/30 1,323,678
330,000 Cigna Corp.......................................................... 4.38% 10/15/28 325,850
400,000 Cigna Corp.......................................................... 4.90% 12/15/48 382,439
950,000 CVS Health Corp..................................................... 2.75% 12/01/22 950,000
2,280,000 CVS Health Corp..................................................... 5.05% 03/25/48 2,203,637
1,950,000 Embecta Corp. (b)................................................... 5.00% 02/15/30 1,713,777
2,005,000 Option Care Health, Inc. (b)........................................ 4.38% 10/31/29 1,766,375
1,431,000 Organon & Co. / Organon Foreign Debt Co-Issuer B.V. (b)............. 5.13% 04/30/31 1,253,928
1,350,000 Prestige Brands, Inc. (b)........................................... 3.75% 04/01/31 1,082,248
--------------
18,785,953
--------------

PIPELINES -- 0.7%
50,000 Energy Transfer L.P................................................. 4.00% 10/01/27 47,643
1,535,000 Energy Transfer L.P................................................. 5.40% 10/01/47 1,374,461
470,000 Energy Transfer L.P................................................. 5.00% 05/15/50 404,977
594,000 Energy Transfer L.P., Series B (f).................................. 6.63% (g) 481,682
115,000 Enterprise Products Operating LLC................................... 5.10% 02/15/45 110,319
765,000 Global Partners L.P. / GLP Finance Corp............................. 6.88% 01/15/29 701,176
250,000 Kinder Morgan, Inc.................................................. 5.55% 06/01/45 244,430
607,000 NGL Energy Operating LLC / NGL Energy Finance Corp. (b)............. 7.50% 02/01/26 549,538
845,000 Plains All American Pipeline L.P. / PAA Finance Corp................ 3.55% 12/15/29 742,265
350,000 Rockies Express Pipeline LLC (b).................................... 4.95% 07/15/29 316,025
100,000 Rockies Express Pipeline LLC (b).................................... 6.88% 04/15/40 83,454
598,788 Ruby Pipeline LLC (i) (j) (k)....................................... 8.00% 04/01/22 502,982
1,275,000 Sabine Pass Liquefaction LLC........................................ 4.50% 05/15/30 1,222,019
1,274,000 TransMontaigne Partners L.P. / TLP Finance Corp..................... 6.13% 02/15/26 1,099,557
1,705,000 Venture Global Calcasieu Pass LLC (b)............................... 4.13% 08/15/31 1,482,861
--------------
9,363,389
--------------

Page 64 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

REAL ESTATE INVESTMENT TRUSTS -- 1.6%
$ 75,000 Alexandria Real Estate Equities, Inc., Class E...................... 3.45% 04/30/25 $ 73,911
1,310,000 American Assets Trust LP............................................ 3.38% 02/01/31 1,108,524
75,000 American Campus Communities Operating Partnership L.P............... 3.75% 04/15/23 75,090
2,235,000 American Homes 4 Rent L.P........................................... 3.63% 04/15/32 1,956,386
250,000 Boston Properties L.P............................................... 2.75% 10/01/26 233,291
200,000 Boston Properties L.P............................................... 3.40% 06/21/29 179,422
550,000 Camden Property Trust............................................... 2.95% 12/15/22 549,521
500,000 CubeSmart L.P....................................................... 4.38% 02/15/29 482,782
200,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.38% 11/01/23 198,409
3,625,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.38% 04/15/26 3,566,828
175,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.75% 06/01/28 173,815
185,000 GLP Capital L.P. / GLP Financing II, Inc............................ 5.30% 01/15/29 179,107
555,000 GLP Capital L.P. / GLP Financing II, Inc............................ 4.00% 01/15/30 487,140
490,000 Healthcare Realty Holdings L.P...................................... 3.63% 01/15/28 450,858
595,000 Healthcare Realty Holdings L.P...................................... 3.10% 02/15/30 514,637
1,597,000 Healthcare Realty Holdings L.P...................................... 2.40% 03/15/30 1,273,036
870,000 Healthcare Realty Holdings L.P...................................... 2.00% 03/15/31 679,959
500,000 Hudson Pacific Properties L.P....................................... 3.95% 11/01/27 470,014
175,000 Hudson Pacific Properties L.P....................................... 4.65% 04/01/29 164,820
310,000 Invitation Homes Operating Partnership L.P.......................... 2.30% 11/15/28 259,656
1,350,000 Iron Mountain Information Management Services, Inc. (b)............. 5.00% 07/15/32 1,122,734
200,000 Iron Mountain, Inc. (b)............................................. 4.50% 02/15/31 166,397
400,000 Kilroy Realty L.P................................................... 3.45% 12/15/24 391,335
400,000 Kilroy Realty L.P................................................... 4.38% 10/01/25 395,380
505,000 LXP Industrial Trust................................................ 2.70% 09/15/30 409,356
250,000 National Retail Properties, Inc..................................... 3.90% 06/15/24 247,835
325,000 SL Green Operating Partnership L.P.................................. 3.25% 10/15/22 324,373
250,000 Ventas Realty L.P................................................... 2.65% 01/15/25 239,492
80,000 VICI Properties L.P................................................. 4.95% 02/15/30 76,924
1,250,000 VICI Properties L.P................................................. 5.13% 05/15/32 1,188,437
503,000 VICI Properties L.P................................................. 5.63% 05/15/52 466,048
117,000 VICI Properties L.P. / VICI Note Co., Inc. (b)...................... 5.63% 05/01/24 118,699
399,000 VICI Properties L.P. / VICI Note Co., Inc. (b)...................... 4.63% 06/15/25 386,784
290,000 VICI Properties L.P. / VICI Note Co., Inc. (b)...................... 4.50% 09/01/26 273,641
210,000 VICI Properties L.P. / VICI Note Co., Inc. (b)...................... 5.75% 02/01/27 207,039
85,000 VICI Properties L.P. / VICI Note Co., Inc. (b)...................... 3.75% 02/15/27 77,074
220,000 VICI Properties L.P. / VICI Note Co., Inc. (b)...................... 4.50% 01/15/28 204,324
440,000 VICI Properties L.P. / VICI Note Co., Inc. (b)...................... 3.88% 02/15/29 391,931
--------------
19,765,009
--------------

RETAIL -- 0.5%
1,260,000 Bloomin' Brands, Inc. / OSI Restaurant Partners LLC (b)............. 5.13% 04/15/29 1,095,151
1,817,000 Fertitta Entertainment LLC / Fertitta Entertainment Finance Co.,
Inc. (b)......................................................... 6.75% 01/15/30 1,484,853
788,000 FirstCash, Inc. (b)................................................. 5.63% 01/01/30 706,308
2,170,000 Michaels (The) Cos., Inc. (b)....................................... 7.88% 05/01/29 1,446,359
1,400,000 Papa John's International, Inc. (b)................................. 3.88% 09/15/29 1,198,876
--------------
5,931,547
--------------

See Notes to Financial Statements Page 65

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

SEMICONDUCTORS -- 0.1%
$ 75,000 Broadcom, Inc....................................................... 3.63% 10/15/24 $ 74,183
295,000 Broadcom, Inc....................................................... 4.30% 11/15/32 267,560
660,000 Broadcom, Inc. (b).................................................. 3.42% 04/15/33 546,491
415,000 Intel Corp.......................................................... 3.73% 12/08/47 339,720
--------------
1,227,954
--------------

SOFTWARE -- 0.3%
225,000 Central Parent, Inc. / CDK Global, Inc. (b)......................... 7.25% 06/15/29 215,732
960,000 Oracle Corp......................................................... 2.88% 03/25/31 798,689
1,755,000 Oracle Corp......................................................... 3.80% 11/15/37 1,376,103
1,640,000 Oracle Corp......................................................... 4.00% 11/15/47 1,196,243
--------------
3,586,767
--------------

TELECOMMUNICATIONS -- 2.0%
775,000 AT&T, Inc........................................................... 2.55% 12/01/33 620,152
2,150,000 AT&T, Inc........................................................... 4.50% 05/15/35 2,028,363
200,000 AT&T, Inc........................................................... 5.25% 03/01/37 201,281
594,000 AT&T, Inc........................................................... 4.85% 03/01/39 558,051
750,000 AT&T, Inc........................................................... 4.30% 12/15/42 653,308
605,000 AT&T, Inc........................................................... 4.75% 05/15/46 563,749
2,720,000 AT&T, Inc........................................................... 3.80% 12/01/57 2,070,177
1,249,000 CommScope, Inc. (b)................................................. 6.00% 03/01/26 1,181,929
456,000 Frontier Communications Holdings LLC (b)............................ 5.00% 05/01/28 400,245
592,000 Level 3 Financing, Inc. (b)......................................... 4.63% 09/15/27 523,882
1,400,000 Level 3 Financing, Inc. (b)......................................... 4.25% 07/01/28 1,165,465
1,515,000 Level 3 Financing, Inc. (b)......................................... 3.63% 01/15/29 1,218,181
300,000 Level 3 Financing, Inc. (b)......................................... 3.75% 07/15/29 241,410
1,070,000 Level 3 Financing, Inc. (b)......................................... 3.88% 11/15/29 909,404
400,000 Lumen Technologies Inc (b).......................................... 4.00% 02/15/27 348,436
1,800,000 Lumen Technologies, Inc. (b)........................................ 5.38% 06/15/29 1,405,584
342,000 Qwest Corp.......................................................... 7.25% 09/15/25 354,674
335,000 SES GLOBAL Americas Holdings, Inc. (b).............................. 5.30% 03/25/44 287,354
542,000 Sprint Corp......................................................... 7.88% 09/15/23 559,639
3,327,500 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint
Spectrum Co. III LLC (b)......................................... 4.74% 03/20/25 3,342,155
280,000 Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint
Spectrum Co. III LLC (b)......................................... 5.15% 03/20/28 282,266
1,075,000 T-Mobile USA, Inc................................................... 2.25% 02/15/26 989,806
74,000 T-Mobile USA, Inc................................................... 4.75% 02/01/28 72,481
1,000,000 T-Mobile USA, Inc................................................... 2.63% 02/15/29 863,704
1,445,000 T-Mobile USA, Inc................................................... 3.88% 04/15/30 1,341,716
700,000 T-Mobile USA, Inc................................................... 2.55% 02/15/31 583,309
2,000,000 T-Mobile USA, Inc................................................... 3.50% 04/15/31 1,774,668
250,000 T-Mobile USA, Inc................................................... 4.38% 04/15/40 221,674
1,215,000 Zayo Group Holdings, Inc. (b)....................................... 4.00% 03/01/27 1,037,385
--------------
25,800,448
--------------
TOTAL CORPORATE BONDS AND NOTES................................................................ 279,607,007
(Cost $307,387,635) --------------

Page 66 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

321 Henderson Receivables LLC
$ 265,636 Series 2013-2A, Class A (b)...................................... 4.21% 03/15/62 $ 253,603
ABFC Trust
71,614 Series 2007-NC1, Class A2, 1 Mo. LIBOR + 0.30% (b) (d)........... 2.74% 05/25/37 66,907
992,713 Series 2007-WMC1, Class A1A, 1 Mo. LIBOR + 1.25% (d)............. 3.69% 06/25/37 741,712
ACE Securities Corp. Home Equity Loan Trust
3,421,008 Series 2006-ASP6, Class A2C, 1 Mo. LIBOR + 0.32% (d)............. 2.76% 12/25/36 1,329,328
820,882 Series 2006-HE3, Class A2C, 1 Mo. LIBOR + 0.30% (d).............. 2.74% 06/25/36 635,061
2,174,796 Series 2007-HE1, Class A1, 1 Mo. LIBOR + 0.30% (d)............... 2.74% 01/25/37 1,289,191
2,998,233 Series 2007-WM2, Class A1, 1 Mo. LIBOR + 0.21% (d)............... 2.65% 02/25/37 1,465,962
AFN ABSPROP001 LLC
3,670,912 Series 2019-1A, Class A1 (b)..................................... 3.78% 05/20/49 3,538,509
AGL CLO Ltd.
3,600,000 Series 2021-12A, Class A1, 3 Mo. LIBOR + 1.16% (b) (d)........... 3.87% 07/20/34 3,527,646
AIG CLO Ltd.
1,600,000 Series 2018-1A, Class BR, 3 Mo. LIBOR + 1.70% (b) (d)............ 4.41% 04/20/32 1,552,386
Aimco CLO Ltd.
2,600,000 Series 2015-AA, Class BR2, 3 Mo. LIBOR + 1.60% (b) (d)........... 4.34% 10/17/34 2,487,508
2,100,000 Series 2020-11A, Class AR, 3 Mo. LIBOR + 1.13% (b) (d)........... 3.87% 10/17/34 2,050,789
Ameriquest Mortgage Securities, Inc., Asset Backed Pass-Through
Certificates
419,898 Series 2002-AR1, Class M1, 1 Mo. LIBOR + 1.07% (d)............... 3.33% 09/25/32 437,575
AMMC CLO Ltd.
2,500,000 Series 2021-24A, Class B, 3 Mo. LIBOR + 1.75% (b) (d)............ 4.46% 01/20/35 2,396,898
Apidos CLO XXXVII
1,625,000 Series 2021-37A, Class B, 3 Mo. LIBOR + 1.60% (b) (d)............ 4.36% 10/22/34 1,556,918
Arbor Realty Commercial Real Estate Notes Ltd.
2,000,000 Series 2021-FL1, Class E, 1 Mo. LIBOR + 3.40% (b) (d)............ 5.79% 12/15/35 1,970,549
Ares LXII CLO Ltd.
2,000,000 Series 2021-62A, Class B, 3 Mo. LIBOR + 1.65% (b) (d)............ 4.43% 01/25/34 1,899,348
Argent Securities Trust
1,278,137 Series 2006-W2, Class A2B, 1 Mo. LIBOR + 0.38% (d)............... 2.82% 03/25/36 743,559
Argent Securities, Inc., Asset-Backed Pass-Through Certificates
127,756 Series 2005-W3, Class M1, 1 Mo. LIBOR + 0.66% (d)................ 3.10% 11/25/35 125,288
2,200,000 Series 2005-W3, Class M2, 1 Mo. LIBOR + 0.69% (d)................ 3.13% 11/25/35 1,880,108
BCMSC Trust
2,369,065 Series 2000-A, Class A5.......................................... 8.32% 06/15/30 407,230
BlueMountain CLO XXXI Ltd
2,500,000 Series 2021-31A, Class B, 3 Mo. LIBOR + 1.70% (b) (d)............ 4.44% 04/19/34 2,402,764
BNC Mortgage Loan Trust
1,156,171 Series 2006-2, Class A4, 1 Mo. LIBOR + 0.32% (d)................. 2.76% 11/25/36 1,125,475
CAL Funding IV Ltd.
1,484,986 Series 2020-1A, Class A (b)...................................... 2.22% 09/25/45 1,327,467
Carvana Auto Receivables Trust
5,450 Series 2020-P1, Class R (b)...................................... (h) 09/08/27 1,014,526
3,300 Series 2021-N2, Class R (b)...................................... (h) 03/10/28 1,094,215
2,800 Series 2021-P4, Class R (b)...................................... (h) 09/11/28 1,256,003
19,300 Series 2022-N1, Class R (b)...................................... (h) 12/11/28 3,373,152
2,500 Series 2022-P2, Class R (b)...................................... (h) 05/10/28 966,826
17,100 Series 2022-P2, Class R (b)...................................... (h) 05/10/29 2,954,914

See Notes to Financial Statements Page 67

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

C-BASS TRUST
$ 2,728,301 Series 2007-CB1, Class AF2, steps up to 6.22% after Redemption
Date (c)...................................................... 3.12% 01/25/37 $ 970,193
2,702,477 Series 2007-CB1, Class AF3, steps up to 6.24% after Redemption
Date (c)...................................................... 3.12% 01/25/37 960,973
Cedar Funding XIV CLO Ltd.
1,850,000 Series 2021-14A, Class A, 3 Mo. LIBOR + 1.10% (b) (d)............ 3.61% 07/15/33 1,824,063
CF Hippolyta Issuer LLC
3,743,688 Series 2020-1, Class A1 (b)...................................... 1.69% 07/15/60 3,406,088
Chase Auto Owner Trust
10,000 Series 2022-AA, Class R1 (b) (l)................................. (h) 06/25/30 1,725,000
CIT Education Loan Trust
3,177,944 Series 2005-1, Class A4, 3 Mo. LIBOR + 0.16% (d)................. 1.99% 12/15/33 3,007,448
Citigroup Mortgage Loan Trust
2,806,377 Series 2006-HE3, Class A2B, 1 Mo. LIBOR + 0.20% (d).............. 2.64% 12/25/36 2,087,646
Citigroup Mortgage Loan Trust, Inc.
319,496 Series 2007-WFH3, Class M1, 1 Mo. LIBOR + 0.39% (d).............. 2.83% 06/25/37 313,987
CMFT Net Lease Master Issuer LLC
2,872,645 Series 2021-1, Class A1 (b)...................................... 2.09% 07/20/51 2,482,403
Cologix Data Centers US Issuer LLC
1,960,000 Series 2021-1A, Class A2 (b)..................................... 3.30% 12/26/51 1,814,361
Conseco Finance Corp.
1,881,595 Series 1999-3, Class A8.......................................... 7.06% 02/01/31 1,729,086
CoreVest American Finance Trust
1,037,196 Series 2020-1, Class XA, IO (a) (b).............................. 2.77% 03/15/50 74,009
932,419 Series 2020-3, Class XA, IO (a) (b).............................. 3.84% 08/15/53 80,958
1,250,000 Series 2020-3, Class XB, IO (a) (b).............................. 2.78% 08/15/53 166,081
1,640,000 Series 2020-4, Class B (b)....................................... 1.71% 12/15/52 1,450,212
Credit-Based Asset Servicing & Securitization LLC
880,794 Series 2006-MH1, Class B1 (b).................................... 6.25% 10/25/36 847,305
CWABS Asset-Backed Certificates Trust
1,950,000 Series 2005-17, Class MV2, 1 Mo. LIBOR + 0.72% (d)............... 3.16% 05/25/36 1,885,853
32,904 Series 2006-6, Class 1A1, 1 Mo. LIBOR + 0.34% (d)................ 2.78% 09/25/36 32,898
DataBank Issuer
2,245,000 Series 2021-1A, Class A2 (b)..................................... 2.06% 02/27/51 2,003,739
Dryden CLO Ltd.
625,000 Series 2019-72A, Class BR, 3 Mo. LIBOR + 1.65% (b) (d)........... 4.56% 05/15/32 603,734
Eaton Vance CLO Ltd.
1,800,000 Series 2019-1A, Class AR, 3 Mo. LIBOR + 1.10% (b) (d)............ 3.61% 04/15/31 1,773,865
1,750,000 Series 2020-1A, Class AR, 3 Mo. LIBOR + 1.17% (b) (d)............ 3.68% 10/15/34 1,717,912
ECMC Group Student Loan Trust
1,703,961 Series 2017-2A, Class A, 1 Mo. LIBOR + 1.05% (b) (d)............. 3.49% 05/25/67 1,679,729
1,556,529 Series 2021-1A, Class A1B, 1 Mo. LIBOR + 0.57% (b) (d)........... 3.01% 11/25/70 1,511,890
Elmwood CLO VI Ltd.
2,600,000 Series 2020-3A, Class BR, 3 Mo. LIBOR + 1.65% (b) (d)............ 4.36% 10/20/34 2,490,216
EquiFirst Mortgage Loan Trust
5,930 Series 2005-1, Class M3, 1 Mo. LIBOR + 0.72% (d)................. 3.16% 04/25/35 5,929
First Franklin Mortgage Loan Trust
62,233 Series 2006-FF11, Class 2A3, 1 Mo. LIBOR + 0.30% (d)............. 2.74% 08/25/36 58,394
FirstKey Homes Trust
4,760,000 Series 2020-SFR1, Class B (b).................................... 1.74% 08/17/37 4,415,173

Page 68 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

Flatiron CLO Ltd.
$ 1,000,000 Series 2021-1A, Class B, 3 Mo. LIBOR + 1.60% (b) (d)............. 4.34% 07/19/34 $ 958,169
Fremont Home Loan Trust
31,961 Series 2005-D, Class 2A4, 1 Mo. LIBOR + 0.68% (d)................ 3.12% 11/25/35 31,533
GCI Funding I LLC
1,452,028 Series 2021-1, Class A (b)....................................... 2.38% 06/18/46 1,289,678
Goldentree Loan Management US CLO Ltd.
1,200,000 Series 2019-4A, Class AR, 3 Mo. LIBOR + 1.11% (b) (d)............ 3.89% 04/24/31 1,183,882
Golub Capital Partners CLO L.P.
1,575,000 Series 2021-54A, Class A, 3 Mo. LIBOR + 1.53% (b) (d)............ 4.36% 08/05/33 1,537,652
GSAA Home Equity Trust
3,455,000 Series 2005-4, Class M2, 1 Mo. LIBOR + 1.05% (d)................. 3.49% 03/25/35 3,396,862
243,351 Series 2007-8, Class A3, 1 Mo. LIBOR + 0.90% (d)................. 3.34% 08/25/37 244,521
GSAMP Trust
858,075 Series 2006-HE4, Class A2D, 1 Mo. LIBOR + 0.52% (d).............. 2.96% 06/25/36 831,475
1,149,701 Series 2007-FM2, Class A1, 1 Mo. LIBOR + 0.14% (d)............... 2.58% 01/25/37 730,717
HPS Loan Management Ltd.
1,225,000 Series 10A-16, Class A1RR, 3 Mo. LIBOR + 1.14% (b) (d)........... 3.85% 04/20/34 1,197,438
2,700,000 Series 2021-16A, Class B, 3 Mo. LIBOR + 1.70% (b) (d)............ 4.48% 01/23/35 2,574,360
HSI Asset Securitization Corp Trust
5,863,522 Series 2007-OPT1, Class 1A, 1 Mo. LIBOR + 0.14% (d).............. 2.58% 12/25/36 5,252,208
Invitation Homes Trust
1,128,116 Series 2018-SFR4, Class A, 1 Mo. LIBOR + 1.10% (b) (d)........... 3.48% 01/17/38 1,123,082
JP Morgan Mortgage Acquisition Trust
674,607 Series 2006-CH2, Class AF6, steps up to 6.04% after Redemption
Date (c)...................................................... 5.54% 10/25/36 451,551
603,765 Series 2006-WF1, Class A5........................................ 6.91% 07/25/36 206,770
937,309 Series 2007-CH2, Class AF6, steps up to 6.05% after Redemption
Date (c)...................................................... 4.43% 01/25/37 570,855
Lehman XS Trust
1,305,150 Series 2006-15, Class A4, 1 Mo. LIBOR + 0.34% (d)................ 2.78% 10/25/36 1,232,334
3,667,560 Series 2006-19, Class A3, 1 Mo. LIBOR + 0.50% (d)................ 2.94% 12/25/36 3,214,683
1,911,234 Series 2007-11, Class A3, 1 Mo. LIBOR + 0.52% (d)................ 2.96% 02/25/47 1,764,668
Long Beach Mortgage Loan Trust
2,280,318 Series 2006-8, Class 2A3, 1 Mo. LIBOR + 0.32% (d)................ 2.76% 09/25/36 734,970
13,445,164 Series 2006-10, Class 2A3, 1 Mo. LIBOR + 0.16% (d)............... 2.60% 11/25/36 4,852,496
Magnetite XXI Ltd
2,000,000 Series 2019-21A, Class BR, 3 Mo. LIBOR + 1.35% (b) (d)........... 4.06% 04/20/34 1,887,752
Mastr Asset Backed Securities Trust
121,780 Series 2006-HE5, Class A3, 1 Mo. LIBOR + 0.16% (d)............... 2.60% 11/25/36 77,328
1,652,478 Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.22% (d)............... 2.66% 08/25/36 714,856
Merrill Lynch First Franklin Mortgage Loan Trust
1,755,461 Series 2007-1, Class A1, 1 Mo. LIBOR + 0.28% (d)................. 2.72% 04/25/37 870,770
3,209,945 Series 2007-5, Class 1A, 1 Mo. LIBOR + 0.85% (d)................. 3.29% 10/25/37 2,191,338
Merrill Lynch Mortgage Investors Trust
2,958,877 Series 2006-HE6, Class A2C, 1 Mo. LIBOR + 0.46% (d).............. 2.90% 11/25/37 1,219,397
Morgan Stanley ABS Capital I, Inc. Trust
1,875,720 Series 2006-HE8, Class A2B, 1 Mo. LIBOR + 0.10% (d).............. 2.54% 10/25/36 946,479
1,816,052 Series 2006-HE8, Class A2C, 1 Mo. LIBOR + 0.14% (d).............. 2.58% 10/25/36 918,431
4,657,672 Series 2007-HE2, Class A2B, 1 Mo. LIBOR + 0.09% (d).............. 2.53% 01/25/37 2,440,850
1,297,995 Series 2007-HE4, Class A2B, 1 Mo. LIBOR + 0.18% (d).............. 2.62% 02/25/37 448,551
1,823,309 Series 2007-NC3, Class A2D, 1 Mo. LIBOR + 0.26% (d).............. 2.70% 05/25/37 1,420,737

See Notes to Financial Statements Page 69

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

Navient Student Loan Trust
$ 23,855 Series 2014-1, Class A3, 1 Mo. LIBOR + 0.51% (d)................. 2.95% 06/25/31 $ 23,010
2,499,977 Series 2016-2A, Class A3, 1 Mo. LIBOR + 1.50% (b) (d)............ 3.94% 06/25/65 2,495,518
4,269,000 Series 2018-2A, Class A3, 1 Mo. LIBOR + 0.75% (b) (d)............ 3.19% 03/25/67 4,165,357
2,500,000 Series 2019-3A, Class B, 1 Mo. LIBOR + 1.55% (b) (d)............. 3.99% 07/25/68 2,384,248
Neuberger Berman Loan Advisers CLO Ltd.
1,300,000 Series 2021-43A, Class A, 3 Mo. LIBOR + 1.13% (b) (d)............ 3.87% 07/17/35 1,278,056
NovaStar Mortgage Funding Trust
615,841 Series 2007-2, Class A1A, 1 Mo. LIBOR + 0.20% (d)................ 2.64% 09/25/37 595,658
OCP CLO Ltd.
1,500,000 Series 2021-21A, Class B, 3 Mo. LIBOR + 1.70% (b) (d)............ 4.41% 07/20/34 1,454,578
Octagon Investment Partners 46 Ltd.
2,100,000 Series 2020-2A, Class AR, 3 Mo. LIBOR + 1.16% (b) (d)............ 3.67% 07/15/36 2,061,968
OHA Credit Funding Ltd.
2,000,000 Series 2019-3A, Class AR, 3 Mo. LIBOR + 1.14% (b) (d)............ 3.85% 07/02/35 1,967,985
3,000,000 Series 2020-5A, Class B, 3 Mo. LIBOR + 1.60% (b) (d)............. 4.34% 04/18/33 2,878,974
Palmer Square CLO Ltd.
3,100,000 Series 2020-3A, Class A1AR, 3 Mo. LIBOR + 1.08% (b) (d).......... 3.99% 11/15/31 3,055,442
PRET LLC
3,856,346 Series 2022-RN2, Class A1, steps up to 9.00% on
07/25/26 (b) (c).............................................. 5.00% 06/25/52 3,666,057
Progress Residential Trust
1,200,000 Series 2019-SFR3, Class F (b).................................... 3.87% 09/17/36 1,163,581
Regatta XII Funding Ltd.
3,000,000 Series 2019-1A, Class BR, 3 Mo. LIBOR + 1.60% (b) (d)............ 4.11% 10/15/32 2,884,100
Regatta XX Funding Ltd
3,200,000 Series 2021-2A, Class A, 3 Mo. LIBOR + 1.16% (b) (d)............. 3.67% 10/15/34 3,116,000
Residential Asset Mortgage Products, Inc.
1,400,000 Series 2006-NC2, Class M1, 1 Mo. LIBOR + 0.54% (d)............... 2.98% 02/25/36 1,333,958
1,955,284 Series 2006-RZ2, Class M1, 1 Mo. LIBOR + 0.33% (d)............... 2.94% 05/25/36 1,914,461
Residential Asset Securities Corp.
41,263 Series 2005-KS11, Class M2, 1 Mo. LIBOR + 0.63% (d).............. 3.07% 12/25/35 41,082
Rockford Tower CLO Ltd.
1,325,000 Series 2019-2A, Class BR, 3 Mo. LIBOR + 1.65% (b) (d)............ 4.63% 08/20/32 1,278,401
Sabey Data Center Issuer LLC
1,785,000 Series 2020-1, Class A2 (b)...................................... 3.81% 04/20/45 1,712,922
Saxon Asset Securities Trust
1,243,025 Series 2006-1, Class M1, 1 Mo. LIBOR + 0.47% (d)................. 2.91% 03/25/36 1,202,730
Securitized Asset Backed Receivables LLC Trust
2,401,937 Series 2006-CB5, Class A3, 1 Mo. LIBOR + 0.28% (d)............... 2.72% 06/25/36 1,679,111
Skyline Aircraft Finance LLC
641,805 Series 2020-1, Class A (l) (m)................................... 3.23% 05/10/38 583,867
SLC Student Loan Trust
1,007,573 Series 2008-1, Class A4A, 3 Mo. LIBOR + 1.60% (d)................ 3.43% 12/15/32 1,007,298
SLM Student Loan EDC Repackaging Trust
1,000 Series 2013-M1, Class M1R (b).................................... (h) 10/28/29 568,516
SLM Student Loan Trust
2,030,332 Series 2006-2, Class B, 3 Mo. LIBOR + 0.22% (d).................. 3.00% 01/25/41 1,824,013
3,400 Series 2006-2, Class R........................................... (h) 01/25/41 779,109
2,310,275 Series 2007-1, Class B, 3 Mo. LIBOR + 0.22% (d).................. 3.00% 01/27/42 2,066,464
1,375 Series 2007-4, Class R........................................... (h) 01/25/42 419,571
1,728,817 Series 2007-7, Class A4, 3 Mo. LIBOR + 0.33% (d)................. 3.11% 01/25/22 1,702,086

Page 70 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

SLM Student Loan Trust (Continued)
$ 905,000 Series 2007-7, Class B, 3 Mo. LIBOR + 0.75% (d).................. 3.53% 10/27/70 $ 777,304
300,000 Series 2008-2, Class B, 3 Mo. LIBOR + 1.20% (d).................. 3.98% 01/25/83 237,589
300,000 Series 2008-3, Class B, 3 Mo. LIBOR + 1.20% (d).................. 3.98% 04/26/83 252,379
794,833 Series 2008-4, Class A4, 3 Mo. LIBOR + 1.65% (d)................. 4.43% 07/25/22 794,832
2,358,426 Series 2008-5, Class A4, 3 Mo. LIBOR + 1.70% (d)................. 4.48% 07/25/23 2,343,590
650,000 Series 2008-5, Class B, 3 Mo. LIBOR + 1.85% (d).................. 4.63% 07/25/73 639,745
340,000 Series 2008-6, Class B, 3 Mo. LIBOR + 1.85% (d).................. 4.63% 07/26/83 319,482
220,000 Series 2008-8, Class B, 3 Mo. LIBOR + 2.25% (d).................. 5.03% 10/25/75 213,826
1,980,321 Series 2008-9, Class A, 3 Mo. LIBOR + 1.50% (d).................. 4.28% 04/25/23 1,972,059
800,000 Series 2008-9, Class B, 3 Mo. LIBOR + 2.25% (d).................. 5.03% 10/25/83 756,882
100,000 Series 2012-7, Class B, 1 Mo. LIBOR + 1.80% (d).................. 4.24% 09/25/43 95,358
Soundview Home Loan Trust
2,083,951 Series 2007-OPT1, Class 2A3, 1 Mo. LIBOR + 0.21% (d)............. 2.65% 06/25/37 1,528,352
202,836 Series 2007-OPT2, Class 2A4, 1 Mo. LIBOR + 0.25% (d)............. 2.69% 07/25/37 168,691
Specialty Underwriting & Residential Finance Trust
2,819,482 Series 2006-AB3, Class A2C, 1 Mo. LIBOR + 0.48% (d).............. 2.92% 09/25/37 2,080,973
Structured Asset Securities Corp Mortgage Loan Trust
4,812,094 Series 2005-2XS, Class M1, 1 Mo. LIBOR + 0.71% (d)............... 3.15% 02/25/35 4,780,291
995,221 Series 2006-BC3, Class A3, 1 Mo. LIBOR + 0.32% (d)............... 2.76% 10/25/36 921,613
Structured Receivables Finance LLC
72,261 Series 2010-B, Class A (b)....................................... 3.73% 08/15/36 70,146
STWD Ltd.
2,483,000 Series 2019-FL1, Class AS, 1 Mo. CME Term SOFR +
1.51% (b) (d)................................................. 3.81% 07/15/38 2,447,331
TAL Advantage VII LLC
2,863,519 Series 2020-1A, Class A (b)...................................... 2.05% 09/20/45 2,584,053
Textainer Marine Containers Ltd.
1,668,000 Series 2021-3A, Class A (b)...................................... 1.94% 08/20/46 1,435,946
Textainer Marine Containers VII Ltd.
2,063,330 Series 2020-2A, Class A (b)...................................... 2.10% 09/20/45 1,858,064
Trestles CLO V Ltd.
1,900,000 Series 2021-5A, Class A1, 3 Mo. LIBOR + 1.17% (b) (d)............ 3.88% 10/20/34 1,865,187
Tricon American Homes Trust
1,400,000 Series 2017-SFR2, Class E (b).................................... 4.22% 01/17/36 1,375,912
Triton Container Finance VIII LLC
3,197,285 Series 2021-1A, Class A (b)...................................... 1.86% 03/20/46 2,771,371
TRP LLC
3,533,257 Series 2021-1, Class A (b)....................................... 2.07% 06/19/51 3,109,988
Wachovia Student Loan Trust
1,415,644 Series 2006-1, Class B, 3 Mo. LIBOR + 0.24% (b) (d).............. 3.02% 04/25/40 1,311,453
WaMu Asset-Backed Certificates WaMu Trust
1,618,337 Series 2007-HE2, Class 2A3, 1 Mo. LIBOR + 0.25% (d).............. 2.69% 04/25/37 668,785
Washington Mutual Asset-Backed Certificates WMABS Trust
420,890 Series 2006-HE5, Class 1A, 1 Mo. LIBOR + 0.16% (d)............... 2.60% 10/25/36 342,119
--------------
TOTAL ASSET-BACKED SECURITIES................................................................. 222,534,397
(Cost $237,388,580) --------------

See Notes to Financial Statements Page 71

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.1%
Federal Home Loan Mortgage Corporation
$ 213,265 Series 2019-4919, Class FP, 1 Mo. LIBOR + 0.45% (d).............. 2.89% 09/25/49 $ 212,595
Federal National Mortgage Association
1,001,537 Series 2011-116, Class SA, IO, 1 Mo. LIBOR (multiply) -1 +
6.00% (n)..................................................... 3.56% 11/25/41 91,559
132,384 Series 2012-56, Class FK, 1 Mo. LIBOR + 0.45% (d)................ 2.89% 06/25/42 132,278
106,085 Series 2012-128, Class UA........................................ 2.50% 06/25/42 97,246
1,125,166 Series 2013-18, Class MI, IO..................................... 3.00% 02/25/33 63,934
267,700 Series 2019-33, Class FN, 1 Mo. LIBOR + 0.40% (d)................ 2.84% 07/25/49 266,382
Government National Mortgage Association
1,006,210 Series 2003-110, Class S, IO, 1 Mo. LIBOR (multiply) -1 +
6.60% (n)..................................................... 4.23% 10/20/33 38,935
989,099 Series 2018-63, Class IO, IO..................................... 4.00% 09/20/47 160,366
276,816 Series 2019-86, Class FE, 1 Mo. LIBOR + 0.40% (d)................ 2.77% 07/20/49 275,210
197,143 Series 2020-133, Class FA (e).................................... 2.54% 02/20/49 196,565
--------------
1,535,070
--------------
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.8%
Federal Home Loan Mortgage Corporation Multiclass Certificates
11,161,921 Series 2021-P009, Class X, IO (a)................................ 1.55% 01/25/31 735,648
Federal Home Loan Mortgage Corporation Multifamily PC REMIC Trust
4,095,000 Series 2019-P002, Class X, IO (e)................................ 1.14% 07/25/33 357,473
Federal Home Loan Mortgage Corporation Multifamily Structured
Pass-Through Certificates
2,308,821 Series 2012-K022, Class X3, IO (a)............................... 1.81% 08/25/40 23
11,075,000 Series 2013-K025, Class X3, IO (a) (o)........................... 1.80% 11/25/40 111
30,000,000 Series 2013-K026, Class X3, IO (a)............................... 1.85% 12/25/40 96,510
71,417,103 Series 2013-K031, Class X1, IO (a)............................... 0.29% 04/25/23 59,155
16,790,412 Series 2013-K035, Class X1, IO (a)............................... 0.45% 08/25/23 45,442
4,000,000 Series 2013-K035, Class X3, IO (a)............................... 1.85% 12/25/41 64,782
2,500,000 Series 2014-K037, Class X3, IO (a)............................... 2.28% 01/25/42 70,193
30,871,342 Series 2014-K039, Class X1, IO (a)............................... 0.82% 07/25/24 328,653
2,145,000 Series 2014-K039, Class X3, IO (a)............................... 2.18% 08/25/42 95,543
115,076,197 Series 2015-K043, Class X1, IO (a)............................... 0.64% 12/25/24 1,206,194
11,180,249 Series 2015-K044, Class X1, IO (a)............................... 0.87% 01/25/25 164,573
11,804 Series 2015-K045, Class X1, IO (a) (o)........................... 0.54% 01/25/25 107
20,449,223 Series 2015-K048, Class X3, IO (a)............................... 1.54% 08/25/43 762,384
15,875,892 Series 2015-K051, Class X1, IO (a)............................... 0.64% 09/25/25 206,468
6,897,149 Series 2016-K056, Class X3, IO (a)............................... 2.18% 06/25/44 470,535
1,900,000 Series 2016-K060, Class X3, IO (a)............................... 1.96% 12/25/44 127,411
26,082,170 Series 2016-K723, Class X3, IO (a)............................... 1.97% 10/25/34 521,826
85,007 Series 2016-KF25, Class A, 1 Mo. LIBOR + 0.48% (d)............... 2.84% 10/25/23 85,012
3,635,084 Series 2016-KS06, Class X, IO (a)................................ 1.18% 08/25/26 104,116
4,840,663 Series 2016-KS07, Class X, IO (a)................................ 0.75% 09/25/25 83,021
69,530 Series 2016-KW01, Class X1, IO (a)............................... 1.11% 01/25/26 1,752
8,815,971 Series 2017-K726, Class X1, IO (a)............................... 1.05% 04/25/24 106,328
2,230,000 Series 2017-K728, Class X3, IO (a)............................... 2.02% 11/25/45 91,294
1,356,786 Series 2019-KC04, Class X1, IO (a)............................... 1.41% 12/25/26 43,897
7,133,381 Series 2019-KC05, Class X1, IO (a)............................... 1.34% 06/25/27 239,713
4,877,203 Series 2019-KLU1, Class X3, IO (a)............................... 4.10% 01/25/31 644,156
77,050,000 Series 2022-Q017, Class X, IO (e)................................ 1.22% 04/25/30 1,378,810

Page 72 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
Federal National Mortgage Association
$ 41,764 Series 2016-M2, Class X3, IO (a) (o)............................. 2.13% 04/25/36 $ 0
1,288,951 Series 2016-M4, Class X2, IO (a)................................. 2.70% 01/25/39 22,593
147,953 Series 2016-M11, Class X2, IO (a)................................ 2.96% 07/25/39 1,431
268,264 Series 2018-M10, Class A1 (a).................................... 3.48% 07/25/28 267,078
6,100,000 Series 2019-M29, Class X4, IO.................................... 0.70% 03/25/29 204,545
Government National Mortgage Association
139,311 Series 2011-119, Class D......................................... 3.51% 04/16/45 137,153
512,504 Series 2011-142, Class B (e)..................................... 3.37% 02/16/44 510,589
378,326 Series 2013-125, Class IO, IO (e)................................ 0.21% 10/16/54 5,253
38,066 Series 2013-162, Class C (e)..................................... 3.00% 01/16/44 38,000
762,436 Series 2014-52, Class D (e)...................................... 3.63% 05/16/46 750,472
894,417 Series 2014-125, Class IO, IO (e)................................ 0.94% 11/16/54 26,149
--------------
10,054,393
--------------

PASS-THROUGH SECURITIES -- 13.8%
Federal Home Loan Mortgage Corporation
560,693 Pool WN0006...................................................... 3.42% 07/01/30 546,726
Federal National Mortgage Association
462,628 Pool AM2974...................................................... 4.10% 04/01/43 460,826
1,499,774 Pool AM9897...................................................... 3.50% 09/01/35 1,450,462
5,675,000 Pool TBA (p)..................................................... 3.50% 09/15/52 5,419,159
17,975,000 Pool TBA (p)..................................................... 4.50% 09/15/52 17,902,631
5,550,000 Pool TBA (p)..................................................... 4.00% 09/15/52 5,426,859
44,425,000 Pool TBA (p)..................................................... 2.00% 10/15/52 38,330,731
63,150,000 Pool TBA (p)..................................................... 2.50% 10/15/52 56,489,094
39,000,000 Pool TBA (p)..................................................... 3.00% 10/15/52 36,135,397
12,800,000 Pool TBA (p)..................................................... 4.50% 10/15/52 12,732,966
--------------
174,894,851
--------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES....................................... 186,484,314
(Cost $191,242,016) --------------

AGRICULTURE -- 0.1%
1,200,000 Imperial Brands Finance PLC (USD) (b)............................... 6.13% 07/27/27 1,220,857
--------------

BANKS -- 2.6%
1,025,000 ABN AMRO Bank N.V. (USD) (b) (f).................................... 2.47% 12/13/29 861,855
2,160,000 Credit Suisse Group AG (USD) (b) (f)................................ 1.31% 02/02/27 1,822,948
5,550,000 Credit Suisse Group AG (USD) (b) (f)................................ 3.09% 05/14/32 4,208,200
1,775,000 Credit Suisse Group AG (USD) (b) (f)................................ 6.54% 08/12/33 1,700,687
955,000 DNB Bank ASA (USD) (b) (f).......................................... 0.86% 09/30/25 884,362
435,000 DNB Bank ASA (USD) (b) (f).......................................... 1.61% 03/30/28 377,096
200,000 Global Bank Corp. (USD) (f) (q)..................................... 5.25% 04/16/29 188,980
590,000 HSBC Holdings PLC (USD) (f)......................................... 0.98% 05/24/25 550,526

See Notes to Financial Statements Page 73

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

BANKS (CONTINUED)
505,000 HSBC Holdings PLC (USD) (f)......................................... 1.59% 05/24/27 $ 440,658
3,180,000 HSBC Holdings PLC (USD) (f)......................................... 4.76% 06/09/28 3,073,018
2,070,000 HSBC Holdings PLC (USD) (f)......................................... 2.01% 09/22/28 1,754,845
1,440,000 HSBC Holdings PLC (USD) (f)......................................... 2.21% 08/17/29 1,194,773
1,175,000 HSBC Holdings PLC (USD) (f)......................................... 2.80% 05/24/32 935,394
965,000 HSBC Holdings PLC (USD) (f)......................................... 5.40% 08/11/33 922,513
3,260,000 Lloyds Banking Group PLC (USD) (f).................................. 2.91% 11/07/23 3,250,679
200,000 Lloyds Banking Group PLC (USD)...................................... 3.90% 03/12/24 199,236
365,000 Lloyds Banking Group PLC (USD) (f).................................. 3.87% 07/09/25 357,846
760,000 Lloyds Banking Group PLC (USD) (f).................................. 3.57% 11/07/28 704,017
1,575,000 Lloyds Banking Group PLC (USD) (f).................................. 4.98% 08/11/33 1,504,941
390,000 Macquarie Group Ltd. (USD) (b) (f).................................. 3.19% 11/28/23 388,965
565,000 Macquarie Group Ltd. (USD) (b) (f).................................. 1.34% 01/12/27 495,341
785,000 Macquarie Group Ltd. (USD) (b) (f).................................. 2.69% 06/23/32 631,085
1,070,000 Macquarie Group Ltd. (USD) (b) (f).................................. 2.87% 01/14/33 860,992
1,575,000 NatWest Group PLC (USD) (f)......................................... 4.27% 03/22/25 1,558,428
1,420,000 Santander UK Group Holdings PLC (USD) (f)........................... 4.80% 11/15/24 1,415,752
525,000 Santander UK Group Holdings PLC (USD) (f)........................... 1.09% 03/15/25 491,632
2,390,000 Santander UK Group Holdings PLC (USD) (f)........................... 1.67% 06/14/27 2,074,396
430,000 Santander UK Group Holdings PLC (USD) (f)........................... 2.47% 01/11/28 377,748
--------------
33,226,913
--------------

BEVERAGES -- 0.2%
505,000 Bacardi Ltd. (USD) (b).............................................. 2.75% 07/15/26 464,845
670,000 Bacardi Ltd. (USD) (b).............................................. 4.70% 05/15/28 653,690
1,000,000 Becle SAB de CV (USD) (b)........................................... 2.50% 10/14/31 823,985
--------------
1,942,520
--------------

BIOTECHNOLOGY -- 0.1%
1,000,000 Grifols Escrow Issuer S.A. (USD) (b)................................ 4.75% 10/15/28 834,875
--------------

CHEMICALS -- 0.1%
925,000 EverArc Escrow Sarl (USD) (b)....................................... 5.00% 10/30/29 792,383
275,000 Herens Holdco Sarl (USD) (b)........................................ 4.75% 05/15/28 233,402
--------------
1,025,785
--------------

COMMERCIAL SERVICES -- 0.0%
200,000 DP World Crescent Ltd. (USD) (b).................................... 4.85% 09/26/28 203,717
--------------

COMPUTERS -- 0.1%
600,000 Lenovo Group Ltd. (USD) (b)......................................... 6.54% 07/27/32 596,905
--------------

DIVERSIFIED FINANCIAL SERVICES -- 0.6%
55,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(USD)............................................................ 4.13% 07/03/23 54,893
115,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(USD)............................................................ 3.88% 01/23/28 104,813
1,650,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(USD)............................................................ 3.00% 10/29/28 1,406,452
1,940,000 AerCap Ireland Capital DAC / AerCap Global Aviation Trust
(USD)............................................................ 3.30% 01/30/32 1,570,819
100,000 Avolon Holdings Funding Ltd. (USD) (b).............................. 3.95% 07/01/24 95,574

Page 74 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

DIVERSIFIED FINANCIAL SERVICES (CONTINUED)
325,000 Avolon Holdings Funding Ltd. (USD) (b).............................. 2.88% 02/15/25 $ 298,468
4,645,000 Avolon Holdings Funding Ltd. (USD) (b).............................. 2.53% 11/18/27 3,804,078
82,000 Park Aerospace Holdings Ltd. (USD) (b).............................. 5.50% 02/15/24 81,051
--------------
7,416,148
--------------

ELECTRIC -- 0.1%
500,000 Comision Federal de Electricidad (USD) (b).......................... 4.69% 05/15/29 455,637
250,000 Mong Duong Finance Holdings B.V. (USD) (q).......................... 5.13% 05/07/29 206,723
--------------
662,360
--------------

ENGINEERING & CONSTRUCTION -- 0.0%
735,000 Heathrow Funding Ltd. (EUR)......................................... 1.88% 03/14/34 578,480
--------------

ENVIRONMENTAL CONTROL -- 0.1%
1,400,000 GFL Environmental, Inc. (USD) (b)................................... 4.00% 08/01/28 1,185,478
300,000 Waste Connections, Inc. (USD)....................................... 2.60% 02/01/30 263,993
--------------
1,449,471
--------------

FOOD -- 0.3%
443,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (b)........................................................ 5.50% 01/15/30 443,246
1,350,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (b)........................................................ 3.75% 12/01/31 1,184,726
650,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (b)........................................................ 5.75% 04/01/33 651,681
1,285,000 JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
(USD) (b)........................................................ 6.50% 12/01/52 1,361,368
--------------
3,641,021
--------------
INTERNET -- 0.0%
200,000 Tencent Holdings Ltd. (USD) (b)..................................... 3.68% 04/22/41 156,013
200,000 Tencent Holdings Ltd. (USD) (b)..................................... 3.84% 04/22/51 149,121
--------------
305,134
--------------
MACHINERY-DIVERSIFIED -- 0.0%
222,000 Titan Acquisition Ltd. / Titan Co-Borrower LLC (USD) (b)............ 7.75% 04/15/26 202,255
--------------
MEDIA -- 0.1%
1,500,000 VZ Secured Financing BV (USD) (b)................................... 5.00% 01/15/32 1,224,878
--------------
MINING -- 0.1%
200,000 Freeport Indonesia PT (USD) (b)..................................... 4.76% 04/14/27 195,200
1,200,000 Indonesia Asahan Aluminium Persero PT (USD) (q)..................... 4.75% 05/15/25 1,204,650
--------------
1,399,850
--------------
MISCELLANEOUS MANUFACTURING -- 0.2%
2,253,000 GE Capital International Funding Co. Unlimited Co. (USD)............ 4.42% 11/15/35 2,139,959
40,000 Ingersoll-Rand Luxembourg Finance S.A. (USD)........................ 3.55% 11/01/24 39,475
--------------
2,179,434
--------------
OIL & GAS -- 0.6%
450,000 Ecopetrol SA (USD).................................................. 6.88% 04/29/30 418,808
200,000 KazMunayGas National Co. JSC (USD) (q).............................. 4.75% 04/19/27 185,304

See Notes to Financial Statements Page 75

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

OIL & GAS (CONTINUED)
900,000 KazMunayGas National Co. JSC (USD) (q).............................. 5.38% 04/24/30 $ 842,487
1,100,000 Pertamina Persero PT (USD) (b)...................................... 3.10% 08/27/30 981,535
105,000 Petroleos Mexicanos (USD)........................................... 6.75% 09/21/47 66,334
170,000 Petroleos Mexicanos (USD)........................................... 6.35% 02/12/48 103,343
355,000 Petroleos Mexicanos (USD)........................................... 7.69% 01/23/50 244,957
110,000 Petroleos Mexicanos (USD)........................................... 6.95% 01/28/60 69,248
2,750,000 Petronas Capital Ltd. (USD) (b)..................................... 3.50% 04/21/30 2,646,057
1,150,000 Qatar Energy (USD) (q).............................................. 2.25% 07/12/31 1,005,245
200,000 SA Global Sukuk Ltd. (USD) (q)...................................... 1.60% 06/17/26 183,905
700,000 Saudi Arabian Oil Co. (USD) (q)..................................... 1.63% 11/24/25 650,300
200,000 Saudi Arabian Oil Co. (USD) (b)..................................... 2.25% 11/24/30 174,516
331,625 Transocean Poseidon Ltd. (USD) (b).................................. 6.88% 02/01/27 312,847
--------------
7,884,886
--------------

OIL & GAS SERVICES -- 0.1%
1,154,250 Transocean Phoenix 2 Ltd. (USD) (b)................................. 7.75% 10/15/24 1,132,792
276,750 Transocean Proteus Ltd. (USD) (b)................................... 6.25% 12/01/24 269,357
--------------
1,402,149
--------------

PACKAGING & CONTAINERS -- 0.3%
2,200,000 Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.
(USD) (b)........................................................ 5.25% 08/15/27 1,594,427
1,800,000 Trivium Packaging Finance B.V. (USD) (b)............................ 5.50% 08/15/26 1,731,042
--------------
3,325,469
--------------

PHARMACEUTICALS -- 0.0%
637,000 Endo Dac / Endo Finance LLC / Endo Finco, Inc.
(USD) (i) (j) (k)................................................ 6.00% 06/30/28 36,628
365,000 Jazz Securities DAC (USD) (b)....................................... 4.38% 01/15/29 329,664
--------------
366,292
--------------

PIPELINES -- 0.2%
2,306,064 Galaxy Pipeline Assets Bidco Ltd. (USD) (b)......................... 2.16% 03/31/34 2,017,953
400,000 KazTransGas JSC (USD) (q)........................................... 4.38% 09/26/27 364,500
--------------
2,382,453
--------------

REAL ESTATE -- 0.0%
605,000 China Aoyuan Group Ltd. (USD) (q)................................... 6.35% 02/08/24 41,827
200,000 China SCE Group Holdings Ltd. (USD) (q)............................. 7.00% 05/02/25 44,000
400,000 Sunac China Holdings Ltd. (USD) (q)................................. 6.50% 01/10/25 59,000
200,000 Times China Holdings Ltd. (USD) (q)................................. 6.75% 07/08/25 31,975
300,000 Vonovia SE (EUR).................................................... 1.50% 06/14/41 184,909
415,000 Zhenro Properties Group Ltd. (USD) (k) (q).......................... 6.63% 01/07/26 16,752
--------------
378,463
--------------

REAL ESTATE INVESTMENT TRUSTS -- 0.0%
510,000 Ascendas Real Estate Investment Trust (EUR)......................... 0.75% 06/23/28 410,212
--------------

RETAIL -- 0.0%
510,000 Alimentation Couche-Tard, Inc. (USD) (b)............................ 3.55% 07/26/27 479,601
--------------

Page 76 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

SAVINGS & LOANS -- 0.2%
135,000 Nationwide Building Society (USD) (b) (f)........................... 3.77% 03/08/24 $ 134,524
1,165,000 Nationwide Building Society (USD) (b) (f)........................... 4.36% 08/01/24 1,156,921
1,520,000 Nationwide Building Society (USD) (b) (f)........................... 2.97% 02/16/28 1,372,837
--------------
2,664,282
--------------

SEMICONDUCTORS -- 0.0%
400,000 TSMC Global Ltd. (USD) (b).......................................... 4.63% 07/22/32 402,011
--------------

TELECOMMUNICATIONS -- 0.5%
200,000 C&W Senior Financing DAC (USD) (b).................................. 6.88% 09/15/27 177,805
1,500,000 Global Switch Finance BV (EUR)...................................... 1.38% 10/07/30 1,329,122
600,000 Intelsat Jackson Holdings S.A. (USD) (b) (k)........................ 5.50% 08/01/23 6,906
750,000 Intelsat Jackson Holdings S.A. (USD) (b) (k)........................ 8.50% 10/15/24 8,692
303,000 Intelsat Jackson Holdings S.A. (USD) (b) (k)........................ 9.75% 07/15/25 3,488
1,929,000 Intelsat Jackson Holdings S.A. (USD) (b)............................ 6.50% 03/15/30 1,753,422
200,000 SES S.A. (USD) (b).................................................. 3.60% 04/04/23 197,745
1,235,000 Vmed O2 UK Financing I PLC (USD) (b)................................ 4.25% 01/31/31 998,152
895,000 Vodafone Group PLC (USD)............................................ 5.25% 05/30/48 830,209
113,000 Vodafone Group PLC (USD)............................................ 4.88% 06/19/49 101,998
580,000 Vodafone Group PLC (USD)............................................ 4.25% 09/17/50 476,733
--------------
5,884,272
--------------

TRANSPORTATION -- 0.0%
200,000 Empresa de Transporte de Pasajeros Metro S.A. (USD) (b)............. 3.65% 05/07/30 185,388
--------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES........................................................ 83,876,081
(Cost $92,704,024) --------------

FOREIGN SOVEREIGN BONDS AND NOTES -- 4.4%

BAHRAIN -- 0.1%
825,000 CBB International Sukuk Co. 7 SPC (USD) (q)......................... 6.88% 10/05/25 868,433
--------------

BRAZIL -- 0.3%
1,650,000 Brazilian Government International Bond (USD)....................... 2.88% 06/06/25 1,577,673
700,000 Brazilian Government International Bond (USD)....................... 4.63% 01/13/28 672,761
1,350,000 Brazilian Government International Bond (USD)....................... 3.88% 06/12/30 1,180,998
--------------
3,431,432
--------------

CHILE -- 0.2%
2,200,000 Chile Government International Bond (USD)........................... 3.24% 02/06/28 2,055,176
850,000 Chile Government International Bond (USD)........................... 2.55% 01/27/32 710,437
--------------
2,765,613
--------------

COLOMBIA -- 0.3%
2,250,000 Colombia Government International Bond (USD)........................ 4.50% 01/28/26 2,133,162
1,250,000 Colombia Government International Bond (USD)........................ 3.00% 01/30/30 968,658
400,000 Colombia Government International Bond (USD)........................ 3.13% 04/15/31 302,031
--------------
3,403,851
--------------

DOMINICAN REPUBLIC -- 0.2%
2,850,000 Dominican Republic International Bond (USD) (b)..................... 4.50% 01/30/30 2,402,939
350,000 Dominican Republic International Bond (USD) (q)..................... 4.88% 09/23/32 283,726
--------------
2,686,665
--------------

See Notes to Financial Statements Page 77

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

EGYPT -- 0.0%
400,000 Egypt Government International Bond (USD) (b)....................... 5.25% 10/06/25 $ 342,303
200,000 Egypt Government International Bond (USD) (q)....................... 5.25% 10/06/25 171,151
--------------
513,454
--------------

GUATEMALA -- 0.2%
2,667,000 Guatemala Government Bond (USD) (q)................................. 3.70% 10/07/33 2,166,695
--------------

HONG KONG -- 0.1%
915,000 Airport Authority Hong Kong (USD) (b)............................... 3.25% 01/12/52 723,204
--------------

HUNGARY -- 0.1%
2,450,000 Hungary Government International Bond (USD) (b)..................... 2.13% 09/22/31 1,801,313
--------------

INDONESIA -- 0.2%
800,000 Indonesia Government International Bond (USD)....................... 2.85% 02/14/30 739,499
2,300,000 Perusahaan Penerbit SBSN Indonesia III (USD) (b).................... 2.80% 06/23/30 2,076,003
--------------
2,815,502
--------------

MEXICO -- 0.4%
3,750,000 Mexico Government International Bond (USD).......................... 3.75% 01/11/28 3,619,318
1,960,000 Mexico Government International Bond (USD).......................... 2.66% 05/24/31 1,630,943
--------------
5,250,261
--------------

OMAN -- 0.2%
600,000 Oman Government International Bond (USD) (q)........................ 6.75% 10/28/27 626,789
1,450,000 Oman Government International Bond (USD) (q)........................ 5.63% 01/17/28 1,431,746
--------------
2,058,535
--------------

PANAMA -- 0.3%
2,500,000 Panama Government International Bond (USD).......................... 3.16% 01/23/30 2,205,621
1,903,000 Panama Government International Bond (USD).......................... 2.25% 09/29/32 1,485,136
--------------
3,690,757
--------------

PARAGUAY -- 0.2%
1,300,000 Paraguay Government International Bond (USD) (b).................... 4.95% 04/28/31 1,255,696
1,650,000 Paraguay Government International Bond (USD) (b).................... 2.74% 01/29/33 1,310,008
--------------
2,565,704
--------------

PERU -- 0.2%
1,500,000 Peruvian Government International Bond (USD)........................ 4.13% 08/25/27 1,476,744
1,203,000 Peruvian Government International Bond (USD)........................ 2.84% 06/20/30 1,048,926
700,000 Peruvian Government International Bond (USD)........................ 2.78% 01/23/31 597,787
--------------
3,123,457
--------------

PHILIPPINES -- 0.2%
2,800,000 Philippine Government International Bond (USD)...................... 2.46% 05/05/30 2,523,628
300,000 Philippine Government International Bond (USD)...................... 1.95% 01/06/32 252,390
--------------
2,776,018
--------------

QATAR -- 0.2%
2,302,000 Qatar Government International Bond (USD) (q)....................... 4.50% 04/23/28 2,404,474
600,000 Qatar Government International Bond (USD) (q)....................... 3.75% 04/16/30 604,486
--------------
3,008,960
--------------

Page 78 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

ROMANIA -- 0.2%
2,350,000 Romanian Government International Bond (USD) (q).................... 3.00% 02/14/31 $ 1,879,803
--------------

SAUDI ARABIA -- 0.3%
1,100,000 Saudi Government International Bond (USD) (q)....................... 3.25% 10/26/26 1,086,947
1,900,000 Saudi Government International Bond (USD) (q)....................... 3.63% 03/04/28 1,892,628
200,000 Saudi Government International Bond (USD) (q)....................... 3.25% 10/22/30 193,202
--------------
3,172,777
--------------

SOUTH AFRICA -- 0.2%
2,358,000 Republic of South Africa Government International Bond (USD)........ 4.30% 10/12/28 2,097,912
620,000 Republic of South Africa Government International Bond (USD)........ 4.85% 09/30/29 551,013
400,000 Republic of South Africa Government International Bond (USD)........ 5.88% 04/20/32 357,300
--------------
3,006,225
--------------

UNITED ARAB EMIRATES -- 0.2%
2,000,000 Abu Dhabi Government International Bond (USD) (q)................... 2.50% 09/30/29 1,865,990
--------------

URUGUAY -- 0.1%
500,000 Uruguay Government International Bond (USD)......................... 4.38% 10/27/27 515,414
1,100,000 Uruguay Government International Bond (USD)......................... 4.38% 01/23/31 1,128,722
--------------
1,644,136
--------------
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES........................................................ 55,218,785
(Cost $60,570,676) --------------

$ 2,520,000 Federal Home Loan Banks............................................. 1.61% 09/04/24 2,416,360
2,515,000 Federal Home Loan Banks............................................. 1.61% 09/04/24 2,411,566
--------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES........................................................ 4,827,926
(Cost $5,035,000) --------------

MUNICIPAL BONDS -- 0.1%

CALIFORNIA -- 0.1%
1,010,000 Los Angeles CA Unif Sch Dist Build America Bonds.................... 5.75% 07/01/34 1,102,761
75,000 Univ of CA Rev Txbl Gen, Ser AJ..................................... 4.60% 05/15/31 75,998
--------------
1,178,759
--------------

COLORADO -- 0.0%
220,000 City & Cnty of Denver Cnty Arpt Rev................................. 2.24% 11/15/30 187,223
--------------

FLORIDA -- 0.0%
105,000 Cnty of Miami-Dade FL Aviation Rev Ref, Ser D....................... 3.45% 10/01/30 97,372
--------------

NEW YORK -- 0.0%
50,000 Metro Transprtn Auth NY Rev Txbl Green Bond, Ser C2................. 5.18% 11/15/49 49,887
--------------
TOTAL MUNICIPAL BONDS.......................................................................... 1,513,241
(Cost $1,700,783) --------------

See Notes to Financial Statements Page 79

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
COMMON STOCKS -- 0.0%

TELECOMMUNICATIONS -- 0.0%
15,736 Intelsat Jackson Emergence S.A. (l) (m) (o) (r)................................................ $ 0
(Cost $527,164) --------------

RIGHTS -- 0.0%

TELECOMMUNICATIONS -- 0.0%
1,648 Intelsat Jackson Holdings S.A., Series A (l) (m) (o) (r)....................................... 0
1,648 Intelsat Jackson Holdings S.A., Series B (l) (m) (o) (r)....................................... 0
--------------
TOTAL RIGHTS................................................................................... 0
(Cost $0) --------------

$ 14,345,000 U.S. Treasury Bill.................................................. (h) 09/01/22 14,345,000
6,715,000 U.S. Treasury Bill.................................................. (h) 09/22/22 6,706,958
94,965,000 U.S. Treasury Bill.................................................. (h) 10/06/22 94,762,342
6,295,000 U.S. Treasury Bill.................................................. (h) 10/20/22 6,273,811
3,675,000 U.S. Treasury Bill.................................................. (h) 11/03/22 3,658,158
21,770,000 U.S. Treasury Bill.................................................. (h) 11/10/22 21,660,308
6,095,000 U.S. Treasury Bill.................................................. (h) 12/01/22 6,050,838
14,545,000 U.S. Treasury Bill.................................................. (h) 01/05/23 14,394,017
17,895,000 U.S. Treasury Bill.................................................. (h) 01/12/23 17,698,482
47,310,000 U.S. Treasury Bill.................................................. (h) 01/19/23 46,757,590
13,120,000 U.S. Treasury Bill.................................................. (h) 01/26/23 12,958,878
--------------
TOTAL U.S. TREASURY BILLS...................................................................... 245,266,382
(Cost $245,441,469) --------------

SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
MONEY MARKET FUNDS -- 1.4%

18,225,536 JPMorgan 100% U.S. Treasury Securities Money Market Fund - Institutional Class - 1.87% (s)..... 18,225,536
(Cost $18,225,536) --------------
TOTAL INVESTMENTS -- 112.9%.................................................................... 1,433,106,770
(Cost $1,508,882,055)
NET OTHER ASSETS AND LIABILITIES -- (12.9)%.................................................... (164,292,232)
--------------
NET ASSETS -- 100.0%........................................................................... $1,268,814,538
==============

Page 80 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

FORWARD FOREIGN CURRENCY CONTRACTS AT AUGUST 31, 2022 (See Note 2E - Forward Foreign Currency Contracts in the Notes to Financial
Statements):

10/07/2022 Citi EUR 166,000 USD 165,411 $ 167,243 $ 165,411 $ 1,832
10/07/2022 Citi USD 2,366,647 EUR 2,233,000 2,366,647 2,249,718 116,929
10/07/2022 Citi USD 200,559 EUR 196,000 200,559 197,467 3,092
10/07/2022 GSIL USD 620,307 EUR 607,000 620,307 611,545 8,762
10/07/2022 GSIL USD 203,868 EUR 199,000 203,868 200,490 3,378
--------------
Net Unrealized Appreciation (Depreciation) $ 133,993
==============

Counterparty Abbreviations:
Citi - Citigroup Global Markets, Inc.
GSIL - Goldman Sachs International, London

FUTURES CONTRACTS AT AUGUST 31, 2022 (See Note 2D - Futures Contracts in the Notes to Financial Statements):

U.S. 2-Year Treasury Notes Long 420 Dec-2022 $ 87,497,813 $ (193,842)
U.S. 5-Year Treasury Notes Long 747 Dec-2022 82,782,774 (390,611)
Euro-Bund Future Short 8 Sep-2022 (1,189,625) (4,014)
Ultra 10-Year U.S. Treasury Notes Short 1,434 Dec-2022 (179,518,875) 1,329,194
Ultra U.S. Treasury Bond Futures Short 344 Dec-2022 (51,428,000) 97,671
--------------- --------------
$ (61,855,913) $ 838,398
=============== ==============

See Notes to Financial Statements Page 81

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

INTEREST RATE SWAP AGREEMENTS AT AUGUST 31, 2022 (See Note 2F - Swap Agreements in the Notes to Financial Statements):

Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 $ 12,290,000 1.026%(1) $ (569,968)
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 9,080,000 1.034%(1) (419,750)
Citibank, Global Markets, Inc. 3 month LIBOR(1) 07/24/2025 6,145,000 1.073%(1) (279,621)
Citibank, Global Markets, Inc. 3 month LIBOR(2) 09/28/2025 20,785,000 1.390%(2) (782,098)
Citibank, Global Markets, Inc. 3 month LIBOR(3) 07/24/2053 1,030,000 1.773%(3) 230,519
Citibank, Global Markets, Inc. 3 month LIBOR(3) 07/24/2053 755,000 1.785%(3) 167,130
Citibank, Global Markets, Inc. 3 month LIBOR(3) 07/24/2053 515,000 1.808%(3) 111,739
Citibank, Global Markets, Inc. 3 month LIBOR(4) 09/28/2053 1,775,000 1.870%(4) 356,576
JPMorgan Chase and Co. SOFR(5) 06/10/2024 54,810,000 1.950%(5) (1,541,297)
--------------- -------------
$ 107,185,000 $ (2,726,770)
=============== =============

(1) The Fund pays the floating rate and receives the fixed rate. The floating
rate is not effective until 07/24/2023 and no interest is being accrued
until that date.

(2) The Fund pays the floating rate and receives the fixed rate. The floating
rate is not effective until 09/28/2023 and no interest is being accrued
until that date.

(3) The Fund pays the fixed rate and receives the floating rate. The floating
rate is not effective until 07/24/2023 and no interest is being accrued
until that date.

(4) The Fund pays the fixed rate and receives the floating rate. The floating
rate is not effective until 09/28/2023 and no interest is being accrued
until that date.

(5) The Fund pays the floating rate and receives the fixed rate. The floating
rate is not effective until 06/14/2023 and no interest is being accrued
until that date.

(a) Collateral Strip Rate security. Coupon is based on the weighted net
interest rate of the investment's underlying collateral. The interest rate
resets periodically.

(b) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A of the Securities Act
of 1933, as amended (the "1933 Act") and may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P.,
the Fund's Advisor (the "Advisor"). Although market instability can result
in periods of increased overall market illiquidity, liquidity for each
security is determined based on security specific factors and assumptions,
which require subjective judgment. At August 31, 2022, securities noted as
such amounted to $485,665,984 or 38.3% of net assets.

(c) Step-up security. A security where the coupon increases or steps up at a
predetermined date. The coupon rate is determined based on the underlying
investments. The coupon rate resets periodically.

(d) Floating or variable rate security.

(e) Weighted Average Coupon security. Coupon is based on the blended interest
rate of the underlying holdings, which may have different coupons. The
coupon may change in any period.

(f) Fixed-to-floating or fixed-to-variable rate security. The interest rate
shown reflects the fixed rate in effect at August 31, 2022. At a
predetermined date, the fixed rate will change to a floating rate or a
variable rate.

(g) Perpetual maturity.

(h) Zero coupon security.

(i) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under the 1933 Act,
and may be resold in transactions exempt from registration, normally to
qualified institutional buyers (see Note 2C - Restricted Securities in the
Notes to Financial Statements).

(j) This issuer has filed for protection in bankruptcy court.

(k) This issuer is in default.

Page 82 See Notes to Financial Statements

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

(m) This security's value was determined using significant unobservable inputs
(see Note 2A - Portfolio Valuation in the Notes to Financial Statements).

(n) Inverse floating rate security.

(o) Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be illiquid by the Advisor.

(p) All or a portion of this security is part of a mortgage dollar roll
agreement (see Note 2K - Mortgage Dollar Rolls in the Notes to Financial
Statements).

(q) This security may be resold to qualified foreign investors and foreign
institutional buyers under Regulation S of the 1933 Act.

(r) Non-income producing security.

(s) Rate shown reflects yield as of August 31, 2022.

CME - Chicago Mercantile Exchange
IO - Interest-Only Security - Principal amount shown represents par value on
which interest payments are based
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
TBA - To-Be-Announced Security

Currency Abbreviations:
EUR - Euro
USD - United States Dollar

See Notes to Financial Statements Page 83

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

-----------------------------
VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of August 31,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
8/31/2022 PRICES INPUTS INPUTS
--------------- -------------- --------------- --------------

Mortgage-Backed Securities....................... $ 335,553,101 $ -- $ 335,553,101 $ --
Corporate Bonds and Notes*....................... 279,607,007 -- 279,607,007 --
Asset-Backed Securities.......................... 222,534,397 -- 221,950,530 583,867
U.S. Government Agency Mortgage-Backed
Securities.................................... 186,484,314 -- 186,484,314 --
Foreign Corporate Bonds and Notes*............... 83,876,081 -- 83,876,081 --
Foreign Sovereign Bonds and Notes**.............. 55,218,785 -- 55,218,785 --
U.S. Government Agency Securities................ 4,827,926 -- 4,827,926 --
Municipal Bonds***............................... 1,513,241 -- 1,513,241 --
Common Stocks*................................... --**** -- -- --****
Rights*.......................................... --**** -- -- --****
U.S. Treasury Bills.............................. 245,266,382 -- 245,266,382 --
Money Market Funds............................... 18,225,536 18,225,536 -- --
--------------- -------------- --------------- --------------
Total Investments................................ 1,433,106,770 18,225,536 1,414,297,367 583,867
Forward Foreign Currency Contracts............... 133,993 -- 133,993 --
Futures Contracts*****........................... 1,426,865 1,426,865 -- --
Interest Rate Swap Agreements.................... 865,964 -- 865,964 --
--------------- -------------- --------------- --------------
Total............................................ $ 1,435,533,592 $ 19,652,401 $ 1,415,297,324 $ 583,867
=============== ============== =============== ==============

LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
8/31/2022 PRICES INPUTS INPUTS
--------------- -------------- --------------- --------------
Futures Contracts*****........................... $ (588,467) $ (588,467) $ -- $ --
Interest Rate Swap Agreements.................... (3,592,734) -- (3,592,734) --
--------------- -------------- --------------- --------------
Total............................................ $ (4,181,201) $ (588,467) $ (3,592,734) $ --
=============== ============== =============== ==============

* See Portfolio of Investments for industry breakout.
** See Portfolio of Investments for country breakout.
*** See Portfolio of Investments for state breakout. **** Investment is valued
at $0.
***** Includes cumulative appreciation/depreciation on futures contracts as
reported in the Futures Contracts table. Only the current day's variation
margin is presented on the Statements of Assets and Liabilities.

Level 3 Investments that are fair valued by the Advisor's Pricing Committee are
footnoted in the Portfolio of Investments. All Level 3 values are based on
unobservable inputs.

Page 84 See Notes to Financial Statements

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS
AUGUST 31, 2022

COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.6%
Federal Home Loan Mortgage Corporation
$ 31,198 Series 2005-3071, Class TF, 1 Mo. LIBOR + 0.30% (a).............. 2.69% 04/15/35 $ 31,188
56,172 Series 2010-3778, Class L........................................ 3.50% 12/15/25 55,972
106,219 Series 2017-360, Class 250....................................... 2.50% 11/15/47 99,053
52,002 Series 2020-4993, Class OP, PO................................... (b) 10/25/58 45,031
925,000 Series 2022-5210, Class LB....................................... 3.00% 08/25/50 800,034
Federal Home Loan Mortgage Corporation STACR REMIC Trust
500,000 Series 2021-HQA1, Class M2, 30 Day Average SOFR +
2.25% (a) (d)................................................. 4.53% 08/25/33 481,862
1,100,000 Series 2022-DNA1, Class M1B, 30 Day Average SOFR +
1.85% (a) (d)................................................. 4.03% 01/25/42 1,055,982
Federal National Mortgage Association
122,936 Series 2006-56, Class FE, 1 Mo. LIBOR + 0.43% (a)................ 2.87% 07/25/36 122,807
97,379 Series 2011-47, Class GF, 1 Mo. LIBOR + 0.57% (a)................ 3.01% 06/25/41 97,792
121,097 Series 2018-50, Class BA......................................... 3.00% 07/25/48 115,436
5,592 Series 2018-86, Class JA......................................... 4.00% 05/25/47 5,533
84,590 Series 2019-67, Class FE, 1 Mo. LIBOR + 0.45% (a)................ 2.89% 11/25/49 84,198
--------------
2,994,888
--------------

COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.0%
Federal Home Loan Mortgage Corporation Multifamily Structured
Pass-Through Certificates
67,804,725 Series 2013-K024, Class X3, IO (c)............................... 1.70% 11/25/40 678
1,000,000 Series 2018-K732, Class X3, IO (c)............................... 2.24% 05/25/46 55,449
FREMF Mortgage Trust
21,686,166 Series 2017-K726, Class X2B, IO (d).............................. 0.10% 07/25/49 33,503
--------------
89,630
--------------

PASS-THROUGH SECURITIES -- 66.6%
Federal Home Loan Mortgage Corporation
54,463 Pool G08681...................................................... 3.50% 12/01/45 52,910
28,197 Pool G08792...................................................... 3.50% 12/01/47 27,385
103,228 Pool G60659...................................................... 3.50% 08/01/46 100,297
122,959 Pool G61748...................................................... 3.50% 11/01/48 119,321
140,322 Pool G67706...................................................... 3.50% 12/01/47 136,575
178,407 Pool G67710...................................................... 3.50% 03/01/48 173,130
1,970,629 Pool QD1841...................................................... 2.00% 11/01/51 1,701,416
1,578,863 Pool QD7088...................................................... 2.00% 02/01/52 1,364,487
1,894,116 Pool RA5855...................................................... 2.50% 09/01/51 1,696,675
425,161 Pool RA6528...................................................... 2.50% 02/01/52 380,794
120,337 Pool SD0499...................................................... 3.00% 08/01/50 112,573
1,068,322 Pool SD0956...................................................... 2.50% 04/01/52 956,864
2,087,031 Pool SD1011...................................................... 2.50% 04/01/52 1,870,201
62,778 Pool SD7502...................................................... 3.50% 07/01/49 60,892
129,043 Pool SD7511...................................................... 3.50% 01/01/50 124,403
79,651 Pool SD7513...................................................... 3.50% 04/01/50 76,788
985,050 Pool SD8194...................................................... 2.50% 02/01/52 882,105
1,033,645 Pool SD8212...................................................... 2.50% 05/01/52 925,615
79,210 Pool ZM1779...................................................... 3.00% 09/01/46 75,178

See Notes to Financial Statements Page 85

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

PASS-THROUGH SECURITIES (CONTINUED)
Federal National Mortgage Association
$ 29,613 Pool BE3619...................................................... 4.00% 05/01/47 $ 29,401
1,549,223 Pool BQ6913...................................................... 2.00% 12/01/51 1,339,567
2,807,305 Pool BQ7056...................................................... 2.00% 01/01/52 2,423,925
635,147 Pool BT6597...................................................... 2.00% 02/01/52 549,141
731,488 Pool BU9074...................................................... 2.00% 01/01/52 632,600
760,456 Pool BV7761...................................................... 2.50% 03/01/52 681,218
1,418,319 Pool BV8463...................................................... 2.50% 04/01/52 1,270,305
1,039,970 Pool BV8464...................................................... 3.00% 04/01/52 975,783
1,458,201 Pool BV8477...................................................... 3.00% 05/01/52 1,352,641
1,459,215 Pool BV8515...................................................... 3.00% 05/01/52 1,353,459
54,338 Pool CA0995...................................................... 3.50% 01/01/48 52,674
602,075 Pool CA5689...................................................... 3.00% 05/01/50 563,834
992,910 Pool CB2852...................................................... 2.00% 11/01/51 858,620
2,594,324 Pool CB3151...................................................... 2.00% 03/01/52 2,242,515
70,317 Pool FM2870...................................................... 3.00% 03/01/50 65,967
1,491,045 Pool FS0139...................................................... 2.50% 01/01/52 1,339,312
1,128,626 Pool FS1598...................................................... 2.00% 04/01/52 975,723
64,978 Pool MA4093...................................................... 2.00% 08/01/40 57,863
94,979 Pool MA4152...................................................... 2.00% 10/01/40 84,569
145,898 Pool MA4176...................................................... 2.00% 11/01/40 129,899
153,641 Pool MA4204...................................................... 2.00% 12/01/40 136,780
197,286 Pool MA4333...................................................... 2.00% 05/01/41 174,893
1,201,976 Pool MA4387...................................................... 2.00% 07/01/41 1,065,434
2,169,139 Pool MA4437...................................................... 2.00% 10/01/51 1,874,040
1,173,216 Pool MA4438...................................................... 2.50% 10/01/51 1,051,122
1,052,563 Pool MA4512...................................................... 2.50% 01/01/52 942,759
2,936,918 Pool MA4547...................................................... 2.00% 02/01/52 2,535,699
1,035,655 Pool MA4548...................................................... 2.50% 02/01/52 927,421
1,881,518 Pool MA4579...................................................... 3.00% 04/01/52 1,745,968
5,800,000 Pool TBA (e)..................................................... 3.50% 09/15/52 5,538,524
4,400,000 Pool TBA (e)..................................................... 4.00% 09/15/52 4,302,375
3,775,000 Pool TBA (e)..................................................... 4.50% 09/15/52 3,759,802
29,825,000 Pool TBA (e)..................................................... 2.00% 10/15/52 25,733,574
23,625,000 Pool TBA (e)..................................................... 2.50% 10/15/52 21,133,093
12,425,000 Pool TBA (e)..................................................... 3.00% 10/15/52 11,512,367
1,025,000 Pool TBA (e)..................................................... 4.50% 10/15/52 1,019,632
Government National Mortgage Association
48,737 Pool MA3873...................................................... 3.00% 08/20/46 46,594
61,053 Pool MA4382...................................................... 3.50% 04/20/47 59,641
45,993 Pool MA4778...................................................... 3.50% 10/20/47 44,952
32,166 Pool MA4779...................................................... 4.00% 10/20/47 32,150
13,150,000 Pool TBA (e)..................................................... 2.50% 09/15/52 12,007,080
--------------
123,460,525
--------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES........................................ 126,545,043
(Cost $129,314,853) --------------

Page 86 See Notes to Financial Statements

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COLLATERALIZED MORTGAGE OBLIGATIONS -- 18.8%
Alternative Loan Trust
$ 218,188 Series 2005-16, Class A4, 1 Mo. LIBOR + 0.48% (a)................ 2.92% 06/25/35 $ 189,622
93,298 Series 2006-HY12, Class A5 (c)................................... 3.61% 08/25/36 87,541
135,520 Series 2007-5CB, Class 1A11...................................... 6.00% 04/25/37 86,050
119,895 Series 2007-15CB, Class A5....................................... 5.75% 07/25/37 82,893
353,815 Series 2007-HY8C, Class A1, 1 Mo. LIBOR + 0.32% (a).............. 2.76% 09/25/47 323,641
159,222 Series 2007-OA7, Class A1A, 1 Mo. LIBOR + 0.36% (a).............. 2.80% 05/25/47 137,928
American Home Mortgage Assets Trust
330,366 Series 2006-1, Class 1A1, 1 Mo. LIBOR + 0.21% (a)................ 2.65% 05/25/46 295,527
110,298 Series 2006-3, Class 1A1, 12 Mo. Treasury Average +
0.97% (a)..................................................... 1.83% 10/25/46 98,282
Banc of America Funding Trust
130,186 Series 2007-C, Class 7A1, 1 Mo. LIBOR + 0.42% (a)................ 2.79% 05/20/47 121,740
BCAP LLC Trust
94,209 Series 2006-AA2, Class A1, 1 Mo. LIBOR + 0.34% (a)............... 2.78% 01/25/37 84,542
Bear Stearns ALT-A Trust
517,836 Series 2005-1, Class M2, 1 Mo. LIBOR + 1.13% (a)................. 3.57% 01/25/35 539,795
700,031 Series 2006-1, Class 21A2 (c).................................... 3.30% 02/25/36 554,013
Bear Stearns ARM Trust
172,353 Series 2005-1, Class 2A1 (c)..................................... 3.17% 03/25/35 164,119
Bear Stearns Mortgage Funding Trust
102,418 Series 2006-AR5, Class 2A1, 1 Mo. LIBOR + 0.19% (a).............. 2.63% 01/25/37 91,046
CHL Mortgage Pass-Through Trust
207,929 Series 2004-25, Class 2A1, 1 Mo. LIBOR + 0.68% (a)............... 3.12% 02/25/35 181,777
103,271 Series 2007-20, Class A1......................................... 6.50% 01/25/38 55,070
CIM Trust
248,421 Series 2021-R3, Class A1A (d).................................... 1.95% 06/25/57 225,151
1,336,016 Series 2021-NR1, Class A1, steps up to 5.57% on
02/25/24 (d) (f).............................................. 2.57% 07/25/55 1,277,014
421,372 Series 2021-NR2, Class A1, steps up to 5.57% on
03/25/24 (d) (f).............................................. 2.57% 07/25/59 401,873
98,659 Series 2021-NR3, Class A1, Steps-up to 5.57% on
04/25/24 (d) (f).............................................. 2.57% 06/25/57 93,071
Citigroup Mortgage Loan Trust
261,543 Series 2009-10, Class 2A2 (d).................................... 7.00% 12/25/35 208,560
Connecticut Avenue Securities Trust
500,000 Series 2021-R03, Class 1B2, 30 Day Average SOFR +
5.50% (a) (d)................................................. 7.68% 12/25/41 450,547
Credit Suisse Mortgage Trust
538,254 Series 2014-8R, Class 3A2 (c) (d)................................ 4.05% 02/27/36 507,781
299,202 Series 2020-RPL2, Class A12 (d).................................. 3.44% 02/25/60 293,386
763,261 Series 2021-RP11, Class PT (d)................................... 3.76% 10/25/61 642,982
503,704 Series 2021-RPL4, Class A1 (d)................................... 1.80% 12/27/60 474,925
CSMCM Trust
27,588 Series 2021-RP11, Class CERT (d)................................. 3.78% 10/27/61 23,448
Deutsche Alt-A Securities Mortgage Loan Trust
195,689 Series 2007-3, Class 2A1, 1 Mo. LIBOR + 0.75% (a)................ 3.19% 10/25/47 164,561
GreenPoint Mortgage Funding Trust
161,697 Series 2005-AR4, Class G41B, 1 Mo. LIBOR + 0.20% (a)............. 2.64% 10/25/45 146,731

See Notes to Financial Statements Page 87

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
GreenPoint MTA Trust
$ 317,851 Series 2005-AR1, Class A2, 1 Mo. LIBOR + 0.44% (a)............... 2.88% 06/25/45 $ 296,466
27,502 Series 2005-AR3, Class 1A1, 1 Mo. LIBOR + 0.48% (a).............. 2.92% 08/25/45 21,849
GSR Mortgage Loan Trust
230,758 Series 2006-OA1, Class 2A2, 1 Mo. LIBOR + 0.52% (a).............. 2.96% 08/25/46 83,706
Impac CMB Trust
212,091 Series 2007-A, Class A, 1 Mo. LIBOR + 0.50% (a) (d).............. 2.94% 05/25/37 203,794
IndyMac IMSC Mortgage Loan Trust
1,020,392 Series 2007-F2, Class 1 A4....................................... 6.00% 07/25/37 845,921
IndyMac INDX Mortgage Loan Trust
141,682 Series 2005-AR29, Class A1 (c)................................... 3.19% 01/25/36 126,191
1,051,784 Series 2006-AR2, Class 1A1B, 1 Mo. LIBOR + 0.42% (a)............. 2.86% 04/25/46 931,348
69,834 Series 2006-AR3, Class 2A1A (c).................................. 3.01% 03/25/36 56,420
62,105 Series 2006-AR9, Class 3A2, 1 Mo. LIBOR + 0.35% (a).............. 2.79% 06/25/36 52,552
588,795 Series 2006-AR13, Class A3 (c)................................... 3.34% 07/25/36 473,199
141,791 Series 2006-AR19, Class 5A2 (c).................................. 3.45% 08/25/36 114,661
506,203 Series 2006-AR31, Class A3 (c)................................... 3.02% 11/25/36 472,026
781,211 Series 2007-AR21, Class 6A1 (c).................................. 2.80% 09/25/37 609,574
103,620 Series 2007-FLX2, Class A1A, 1 Mo. LIBOR + 0.16% (a)............. 2.60% 04/25/37 89,754
784,837 Series 2007-FLX3, Class A1, 1 Mo. LIBOR + 0.48% (a).............. 2.92% 06/25/37 712,722
Lanebrook Mortgage Transaction PLC
GBP 542,229 Series 2021-1, Class X1, SONIA + 2.90% (a) (g)................... 4.47% 07/20/58 624,022
Lehman XS Trust
$ 825,260 Series 2005-7N, Class 1A1A, 1 Mo. LIBOR + 0.54% (a).............. 2.98% 12/25/35 763,847
1,317,383 Series 2006-4N, Class A1D1, 1 Mo. LIBOR + 0.66% (a).............. 3.10% 04/25/46 1,202,779
480,602 Series 2006-10N, Class 1A4A, 1 Mo. LIBOR + 0.60% (a)............. 3.04% 07/25/46 384,673
187,036 Series 2007-12N, Class 1A3A, 1 Mo. LIBOR + 0.40% (a)............. 2.84% 07/25/47 181,507
LHOME Mortgage Trust
1,275,000 Series 2021-RTL3, Class A1, steps up to 3.36% on
04/25/24 (d) (f).............................................. 2.36% 09/25/26 1,223,116
Luminent Mortgage Trust
1,249,327 Series 2005-1, Class A1, 1 Mo. LIBOR + 0.52% (a)................. 2.96% 11/25/35 1,204,750
929,166 Series 2007-1, Class 1A1, 1 Mo. LIBOR + 0.32% (a)................ 2.76% 11/25/36 862,246
MASTR Adjustable Rate Mortgages Trust
1,122,069 Series 2006-OA2, Class 1A1, 12 Mo. Treasury Average +
0.80% (a)..................................................... 1.66% 12/25/46 922,627
508,722 Series 2007-2, Class A1, 1 Mo. LIBOR + 0.30% (a)................. 2.74% 03/25/47 474,161
1,800,000 Series 2007-HF2, Class A2, 1 Mo. LIBOR + 1.10% (a)............... 3.54% 09/25/37 861,454
PRPM LLC
1,130,650 Series 2021-1, Class A1, steps up to 5.12% on 01/25/24 (d) (f)... 2.12% 01/25/26 1,085,768
1,364,757 Series 2021-3, Class A1, steps up to 4.87% on 04/25/24 (d) (f)... 1.87% 04/25/26 1,290,652
1,259,001 Series 2021-10, Class A1, steps up to 5.49% on 10/25/24 (d) (f).. 2.49% 10/25/26 1,182,439
1,318,883 Series 2021-11, Class A1, steps up to 5.49% on 11/25/24 (d) (f).. 2.49% 11/25/26 1,238,370
RALI Trust
456,772 Series 2005-QO1, Class A1, 1 Mo. LIBOR + 0.30% (a)............... 2.74% 08/25/35 357,778
126,238 Series 2006-QA6, Class A1, 1 Mo. LIBOR + 0.38% (a)............... 2.82% 07/25/36 125,023
3,222,305 Series 2006-QO2, Class A1, 1 Mo. LIBOR + 0.44% (a)............... 2.88% 02/25/46 734,418
210,063 Series 2006-QS7, Class A2........................................ 6.00% 06/25/36 179,176
322,950 Series 2007-QH4, Class A1, 1 Mo. LIBOR + 0.38% (a)............... 2.82% 05/25/37 291,477

Page 88 See Notes to Financial Statements

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED)
RALI Trust (Continued)
$ 101,652 Series 2007-QS1, Class 1A4....................................... 6.00% 01/25/37 $ 86,240
174,181 Series 2007-QS2, Class A4........................................ 6.25% 01/25/37 148,513
RFMSI Trust
591,035 Series 2006-S10, Class 1A1....................................... 6.00% 10/25/36 522,912
Structured Adjustable Rate Mortgage Loan Trust
712,128 Series 2005-17, Class 3A1 (c).................................... 3.60% 08/25/35 640,756
Structured Asset Mortgage Investments II Trust
226,215 Series 2005-AR8, Class A2, 12 Mo. Treasury Average +
1.48% (a)..................................................... 2.34% 02/25/36 200,086
639,453 Series 2006-AR6, Class 2A1, 1 Mo. LIBOR + 0.38% (a).............. 2.82% 07/25/46 496,800
1,244,740 Series 2006-AR7, Class A1A, 1 Mo. LIBOR + 0.42% (a).............. 2.86% 08/25/36 1,177,429
151,781 Series 2006-AR7, Class A1BG, 1 Mo. LIBOR + 0.12% (a)............. 2.56% 08/25/36 140,188
861,374 Series 2007-AR1, Class 2A1, 1 Mo. LIBOR + 0.18% (a).............. 2.62% 01/25/37 775,187
46,599 Series 2007-AR3, Class 2A1, 1 Mo. LIBOR + 0.19% (a).............. 2.63% 09/25/47 43,154
WaMu Mortgage Pass-Through Certificates Trust
150,029 Series 2005-AR17, Class A1A2, 1 Mo. LIBOR + 0.58% (a)............ 3.02% 12/25/45 135,960
55,084 Series 2006-AR3, Class A1A, 12 Mo. Treasury Average +
1.00% (a)..................................................... 1.86% 02/25/46 50,228
1,013,977 Series 2007-OA4, Class 1A, 12 Mo. Treasury Average +
0.77% (a)..................................................... 1.63% 05/25/47 913,556
Washington Mutual Mortgage Pass-Through Certificates WMALT
637,648 Series 2006-AR6, Class 2A, 12 Mo. Treasury Average +
0.96% (a)..................................................... 1.82% 08/25/46 409,858
827,445 Series 2006-AR10, Class A2A, 1 Mo. LIBOR + 0.34% (a)............. 2.78% 12/25/36 765,697
--------------
34,790,646
--------------

COMMERCIAL MORTGAGE-BACKED SECURITIES -- 11.0%
BBCMS Mortgage Trust
545,000 Series 2020-BID, Class D, 1 Mo. LIBOR + 4.63% (a) (d)............ 7.02% 10/15/37 531,136
BDS Ltd.
662,000 Series 2020-FL6, Class C, 30 Day Average SOFR+
2.36% (a) (d)................................................. 4.37% 09/15/35 643,174
Benchmark Mortgage Trust
117,000 Series 2020-B18, Class AGNF (d).................................. 4.14% 07/15/53 98,962
BFLD Trust
943,000 Series 2020-OBRK, Class A, 1 Mo. LIBOR + 2.05% (a) (d)........... 4.44% 11/15/28 933,699
200,000 Series 2021-FPM, Class B, 1 Mo. LIBOR + 2.50% (a) (d)............ 4.89% 06/15/38 195,144
BWAY Mortgage Trust
18,545,654 Series 2013-1515, Class XA, IO (c) (d)........................... 0.70% 03/10/33 200,302
BX Commercial Mortgage Trust
793,443 Series 2021-XL2, Class J, 1 Mo. LIBOR + 3.89% (a) (d)............ 6.28% 10/15/38 755,014
744,361 Series 2021-SOAR, Class J, 1 Mo. LIBOR + 3.75% (a) (d)........... 6.14% 06/15/38 699,463
BX Trust
605,000 Series 2021-VIEW, Class B, 1 Mo. LIBOR + 1.80% (a) (d)........... 4.19% 06/15/36 582,402
CAMB Commercial Mortgage Trust
890,000 Series 2019-LIFE, Class G, 1 Mo. LIBOR + 3.25% (a) (d)........... 5.64% 12/15/37 861,092
Citigroup Commercial Mortgage Trust
715,958 Series 2013-GC15, Class XA, IO (c)............................... 0.96% 09/10/46 4,138
4,449,241 Series 2016-P3, Class XA, IO (c)................................. 1.82% 04/15/49 192,899

See Notes to Financial Statements Page 89

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
COMM Mortgage Trust
$ 2,599,093 Series 2012-CR4, Class XA, IO (c)................................ 1.74% 10/15/45 $ 13
7,207,903 Series 2013-CR12, Class XA, IO (c)............................... 1.24% 10/10/46 59,537
1,060,930 Series 2013-LC13, Class XA, IO (c)............................... 1.14% 08/10/46 6,778
24,126,602 Series 2014-CR14, Class XA, IO (c)............................... 0.66% 02/10/47 136,178
32,033,112 Series 2014-CR16, Class XA, IO (c)............................... 1.10% 04/10/47 389,206
1,483,556 Series 2014-UBS2, Class XA, IO (c)............................... 1.24% 03/10/47 16,524
20,885,259 Series 2014-UBS3, Class XA, IO (c)............................... 1.22% 06/10/47 278,636
11,151,000 Series 2014-UBS3, Class XB, IO (c) (d)........................... 0.42% 06/10/47 54,236
15,709,915 Series 2014-UBS6, Class XA, IO (c)............................... 1.00% 12/10/47 234,441
7,000,000 Series 2015-LC21, Class XE, IO (c) (d)........................... 1.23% 07/10/48 183,389
35,000 Series 2020-CX, Class E (c) (d).................................. 2.77% 11/10/46 25,746
Credit Suisse Mortgage Trust
815,000 Series 2018-SITE, Class A (d).................................... 4.28% 04/15/36 787,327
182,000 Series 2019-UVIL, Class B (c) (d)................................ 3.39% 12/15/41 158,756
800,000 Series 2020-TMIC, Class A, 1 Mo. LIBOR + 3.00% (a) (d)........... 5.39% 12/15/35 793,512
801,000 Series 2021-BPNY, Class A, 1 Mo. LIBOR + 3.71% (a) (d)........... 6.11% 08/15/23 766,472
CSAIL Commercial Mortgage Trust
20,344,184 Series 2015-C2, Class XA, IO (c)................................. 0.86% 06/15/57 301,883
6,016,006 Series 2015-C4, Class XA, IO (c)................................. 0.96% 11/15/48 123,700
2,839,472 Series 2016-C5, Class XA, IO (c)................................. 1.07% 11/15/48 64,042
DBUBS Mortgage Trust
120,000 Series 2017-BRBK, Class A (d).................................... 3.45% 10/10/34 115,479
DROP Mortgage Trust
386,000 Series 2021-FILE, Class B, 1 Mo. LIBOR + 1.70% (a) (d)........... 4.09% 10/15/43 369,531
European Loan Conduit DAC
EUR 581,855 Series 36A, Class E, 3 Mo. EURIBOR + 3.35% (a) (d)............... 3.68% 02/17/30 540,623
Frost CMBS DAC
GBP 800,000 Series 2021-1A, Class GBB, SONIA + 1.65% (a) (g)................. 3.34% 11/20/33 908,457
Grace Trust
$ 1,000,000 Series 2020-GRCE, Class X, IO (c) (d)............................ 0.39% 12/10/40 22,205
GS Mortgage Securities Corp. II
5,432,386 Series 2013-GC10, Class XA, IO (c)............................... 1.60% 02/10/46 9,229
GS Mortgage Securities Trust
147,654 Series 2011-GC5, Class AS (d).................................... 5.21% 08/10/44 147,196
1,827,783 Series 2011-GC5, Class XA, IO (c) (h)............................ 0.09% 08/10/44 18
28,709,541 Series 2015-GC28, Class XA, IO (c)............................... 1.12% 02/10/48 523,780
JP Morgan Chase Commercial Mortgage Securities Trust
4,619,772 Series 2013-C16, Class XA, IO (c)................................ 1.01% 12/15/46 30,511
1,804,496 Series 2013-LC11, Class XA, IO (c)............................... 1.35% 04/15/46 7,213
16,176,947 Series 2014-C20, Class XA, IO (c)................................ 0.96% 07/15/47 131,611
JPMBB Commercial Mortgage Securities Trust
867,780 Series 2015-C32, Class XA, IO (c)................................ 1.29% 11/15/48 17,682
JPMCC Commercial Mortgage Securities Trust
10,450,940 Series 2017-JP5, Class XA, IO (c)................................ 1.00% 03/15/50 282,163
JPMDB Commercial Mortgage Securities Trust
5,586,785 Series 2016-C2, Class XA, IO (c)................................. 1.65% 06/15/49 229,511
JPMorgan Chase Commercial Mortgage Securities Trust
800,000 Series 2020-ACE, Class A (d)..................................... 3.29% 01/10/37 759,522

Page 90 See Notes to Financial Statements

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED)
Last Mile Logistics Pan Euro Finance DAC
EUR 716,788 Series 1A, Class E, 3 Mo. EURIBOR + 2.70% (a) (d)................ 3.04% 08/17/33 $ 660,020
MHC Commercial Mortgage Trust
$ 205,000 Series 2021-MHC, Class E, 1 Mo. LIBOR + 2.10% (a) (d)............ 4.49% 04/15/38 195,405
Morgan Stanley Bank of America Merrill Lynch Trust
1,816,811 Series 2013-C13, Class XA, IO (c)................................ 1.10% 11/15/46 14,335
4,398,240 Series 2014-C14, Class XA, IO (c)................................ 1.09% 02/15/47 37,655
10,164,989 Series 2015-C20, Class XA, IO (c)................................ 1.40% 02/15/48 209,886
30,348,377 Series 2015-C25, Class XA, IO (c)................................ 1.20% 10/15/48 692,532
MSCG Trust
1,151,000 Series 2018-SELF, Class F, 1 Mo. LIBOR + 3.05% (a) (d)........... 5.44% 10/15/37 1,087,914
One Bryant Park Trust
125,000 Series 2019-OBP, Class A (d)..................................... 2.52% 09/15/54 107,631
SFAVE Commercial Mortgage Securities Trust
690,000 Series 2015-5AVE, Class A2A (c) (d).............................. 3.66% 01/05/43 550,209
340,000 Series 2015-5AVE, Class A2B (c) (d).............................. 4.14% 01/05/43 270,714
SLG Office Trust
385,000 Series 2021-OVA, Class G (d)..................................... 2.85% 07/15/41 266,960
SMRT
105,000,000 Series 2022-MINI, Class XCP, IO (c) (d).......................... 0.73% 01/15/39 285,033
UBS-Barclays Commercial Mortgage Trust
1,006,495 Series 2012-C2, Class XA, IO (c) (d)............................. 0.81% 05/10/63 10
Wells Fargo Commercial Mortgage Trust
8,529,116 Series 2015-C26, Class XA, IO (c)................................ 1.34% 02/15/48 197,325
14,462,758 Series 2015-C27, Class XA, IO (c)................................ 0.97% 02/15/48 238,790
28,169,696 Series 2015-C28, Class XA, IO (c)................................ 0.72% 05/15/48 346,718
1,923,769 Series 2015-LC22, Class XA, IO (c)............................... 0.92% 09/15/58 35,786
6,590,722 Series 2015-NXS3, Class XA, IO (c)............................... 1.03% 09/15/57 144,917
3,737,291 Series 2016-C33, Class XA, IO (c)................................ 1.75% 03/15/59 165,880
5,823,000 Series 2016-C37, Class XEF, IO (c) (d)........................... 1.60% 12/15/49 322,504
WFRBS Commercial Mortgage Trust
56,679 Series 2012-C9, Class XA, IO (c) (d)............................. 1.84% 11/15/45 1
3,375,708 Series 2014-C20, Class XA, IO (c)................................ 1.07% 05/15/47 37,295
982,308 Series 2014-C22, Class XA, IO (c)................................ 0.94% 09/15/57 11,680
4,884,507 Series 2014-C24, Class XA, IO (c)................................ 0.99% 11/15/47 69,583
27,148,531 Series 2014-LC14, Class XA, IO (c)............................... 1.42% 03/15/47 336,419
--------------
20,457,734
--------------
TOTAL MORTGAGE-BACKED SECURITIES............................................................... 55,248,380
(Cost $60,117,802) --------------

ASSET-BACKED SECURITIES -- 24.7%

Accredited Mortgage Loan Trust
33,931 Series 2005-1, Class M2, 1 Mo. LIBOR + 1.04% (a)................. 3.48% 04/25/35 33,903
ACE Securities Corp. Home Equity Loan Trust
1,447,108 Series 2007-HE1, Class A1, 1 Mo. LIBOR + 0.30% (a)............... 2.74% 01/25/37 857,827
AGL CLO 7 Ltd.
1,000,000 Series 2020-7A, Class BR, 3 Mo. LIBOR + 1.70% (a) (d)............ 4.21% 07/15/34 960,076
AIG CLO LLC
320,000 Series 2018-1A, Class BR, 3 Mo. LIBOR + 1.70% (a) (d)............ 4.41% 04/20/32 310,477

See Notes to Financial Statements Page 91

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

AMMC CLO Ltd.
$ 78,946 Series 2016-19A, Class AR, 3 Mo. LIBOR + 1.14% (a) (d)........... 3.65% 10/16/28 $ 78,758
AMSR Trust
572,000 Series 2020-SFR1, Class F (d).................................... 3.57% 04/17/37 540,224
605,000 Series 2020-SFR3, Class G (d).................................... 4.99% 09/17/37 567,827
1,776,000 Series 2020-SFR5, Class A (d).................................... 1.38% 11/17/37 1,636,445
Antares CLO Ltd.
1,200,000 Series 2020-1A, Class A1R, 3 Mo. LIBOR + 1.46% (a) (d)........... 4.24% 10/23/33 1,170,361
Ares LXII CLO Ltd.
700,000 Series 2021-62A, Class B, 3 Mo. LIBOR + 1.65% (a) (d)............ 4.43% 01/25/34 664,772
Argent Securities Trust
759,331 Series 2006-M1, Class A2C, 1 Mo. LIBOR + 0.30% (a)............... 2.74% 07/25/36 233,458
Argent Securities, Inc., Asset-Backed Pass-Through Certificates
600,000 Series 2005-W3, Class M2, 1 Mo. LIBOR + 0.69% (a)................ 3.13% 11/25/35 512,757
Blackrock DLF VIII-L CLO Trust
35,133 Series 2021-1A, Class A, 3 Mo. LIBOR + 1.35% (a) (d)............. 4.09% 04/17/32 35,079
BlueMountain CLO Ltd.
750,000 Series 2020-30A, Class BR, 3 Mo. CME Term SOFR +
1.90% (a) (d)................................................. 4.23% 04/15/35 714,959
Boyce Park CLO Ltd.
1,178,571 Series 2022-1A, Class M2, IO (d)................................. 0.00% 04/21/35 58,612
1,100,000 Series 2022-1A, Class SUB (d).................................... 0.00% 04/21/35 889,491
C-BASS Mortgage Loan Trust
853,629 Series 2007-CB3, Class A3 (f).................................... 3.29% 03/25/37 354,244
981,674 Series 2007-CB3, Class A4 (f).................................... 3.29% 03/25/37 407,183
C-BASS Trust
192,323 Series 2006-CB7, Class A5, 1 Mo. LIBOR + 0.48% (a)............... 2.92% 10/25/36 138,151
CF Hippolyta Issuer LLC
1,086,194 Series 2020-1, Class A1 (d)...................................... 1.69% 07/15/60 988,243
CIFC Funding Ltd.
700,000 Series 2022-2A, Class INCB (d)................................... 0.00% 04/19/35 586,320
Cologix Data Centers US Issuer LLC
715,000 Series 2021-1A, Class A2 (d)..................................... 3.30% 12/26/51 661,872
CoreVest American Finance Trust
29,129 Series 2017-1, Class D (d)....................................... 4.36% 10/15/49 29,056
2,600,408 Series 2021-2, Class XA, IO (c) (d).............................. 3.15% 07/15/54 254,657
Credit-Based Asset Servicing and Securitization LLC
137,967 Series 2007-CB6, Class A1, 1 Mo. LIBOR + 0.12% (a) (d)........... 1.74% 07/25/37 96,343
Dryden CLO Ltd.
615,000 Series 2019-72A, Class BR, 3 Mo. LIBOR + 1.65% (a) (d)........... 4.56% 05/15/32 594,075
Eaton Vance CLO Ltd.
575,000 Series 2019-1A, Class AR, 3 Mo. LIBOR + 1.10% (a) (d)............ 3.61% 04/15/31 566,651
Elmwood CLO VI Ltd.
600,000 Series 2020-3A, Class BR, 3 Mo. LIBOR + 1.65% (a) (d)............ 4.36% 10/20/34 574,665
First Franklin Mortgage Loan Trust
565,000 Series 2006-FF7, Class 2A4, 1 Mo. LIBOR + 0.48% (a).............. 2.92% 05/25/36 478,905
388,957 Series 2006-FF11, Class 2A3, 1 Mo. LIBOR + 0.30% (a)............. 2.74% 08/25/36 364,961
Flexential Issuer
610,000 Series 2021-1A, Class A2 (d)..................................... 3.25% 11/27/51 558,556
Fremont Home Loan Trust
58,990 Series 2005-A, Class M3, 1 Mo. LIBOR + 0.74% (a)................. 3.18% 01/25/35 57,634

Page 92 See Notes to Financial Statements

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

GCI Funding I LLC
$ 956,104 Series 2021-1, Class A (d)....................................... 2.38% 06/18/46 $ 849,203
Golub Capital Partners CLO L.P.
1,100,000 Series 2021-54A, Class A, 3 Mo. LIBOR + 1.53% (a) (d)............ 4.36% 08/05/33 1,073,916
GSAA Home Equity Trust
1,352,474 Series 2007-6, Class 3A1A, 1 Mo. LIBOR + 0.42% (a)............... 2.86% 05/25/47 1,017,410
HPS Loan Management Ltd.
1,000,000 Series 15A-19, Class A1R, 3 Mo. CME Term SOFR +
1.32% (a) (d)................................................. 3.83% 01/22/35 977,613
HSI Asset Securitization Corp. Trust
210,939 Series 2006-WMC1, Class A4, 1 Mo. LIBOR + 0.50% (a).............. 2.94% 07/25/36 104,718
ITE Rail Fund Levered LP
1,135,002 Series 2021-3A, Class A (d)...................................... 2.21% 06/28/51 1,016,234
JP Morgan Mortgage Acquisition Trust
1,415,701 Series 2006-WMC2, Class A4, 1 Mo. LIBOR + 0.30% (a).............. 2.74% 07/25/36 714,509
127,383 Series 2006-WMC4, Class A1A, 1 Mo. LIBOR + 0.13% (a)............. 2.57% 12/25/36 87,238
Long Beach Mortgage Loan Trust
3,798,937 Series 2006-9, Class 2A4, 1 Mo. LIBOR + 0.23% (a)................ 2.90% 10/25/36 1,366,322
300,026 Series 2006-10, Class 2A3, 1 Mo. LIBOR + 0.16% (a)............... 2.60% 11/25/36 108,283
Madison Park Funding XLV Ltd.
825,000 Series 2020-45A, Class BR, 3 Mo. LIBOR + 1.70% (a) (d)........... 4.21% 07/15/34 792,012
Mastr Asset Backed Securities Trust
1,512,866 Series 2006-HE2, Class A3, 1 Mo. LIBOR + 0.30% (a)............... 2.74% 06/25/36 640,597
1,535,500 Series 2007-HE1, Class A4, 1 Mo. LIBOR + 0.28% (a)............... 2.72% 05/25/37 1,264,852
Merrill Lynch First Franklin Mortgage Loan Trust
346,758 Series 2007-1, Class A1, 1 Mo. LIBOR + 0.28% (a)................. 2.72% 04/25/37 172,004
664,062 Series 2007-3, Class A2B, 1 Mo. LIBOR + 0.13% (a)................ 2.57% 06/25/37 551,617
Merrill Lynch Mortgage Investors Trust
1,172,804 Series 2006-HE6, Class A2B, 1 Mo. LIBOR + 0.30% (a).............. 2.74% 11/25/37 478,021
1,000,000 Series 2006-OPT1, Class A2D, 1 Mo. LIBOR + 0.24% (a)............. 2.68% 08/25/37 831,252
Morgan Stanley Capital I, Inc., Trust
23,071 Series 2006-NC2, Class A2D, 1 Mo. LIBOR + 0.58% (a).............. 3.02% 02/25/36 22,770
Navient Student Loan Trust
320,000 Series 2015-3, Class B, 1 Mo. LIBOR + 1.50% (a).................. 3.94% 10/25/58 285,033
975,000 Series 2019-3A, Class B, 1 Mo. LIBOR + 1.55% (a) (d)............. 3.99% 07/25/68 929,857
Nelnet Student Loan Trust
353,604 Series 2005-4, Class B, 3 Mo. LIBOR + 0.28% (a).................. 2.38% 09/22/35 307,840
215,000 Series 2014-4A, Class A2, 1 Mo. LIBOR + 0.95% (a) (d)............ 3.39% 11/25/48 211,845
370,000 Series 2015-3A, Class A3, 1 Mo. LIBOR + 0.90% (a) (d)............ 3.34% 06/25/54 350,682
Nomura Home Equity Loan, Inc., Home Equity Loan Trust
17,817 Series 2006-HE1, Class M1, 1 Mo. LIBOR + 0.62% (a)............... 3.06% 02/25/36 17,803
Oakwood Mortgage Investors, Inc.
827,961 Series 1999-C, Class A2.......................................... 7.48% 08/15/27 721,119
582,662 Series 2001-C, Class A2.......................................... 5.92% 06/15/31 75,491
Option One Mortgage Loan Trust
357,365 Series 2007-4, Class 2A3, 1 Mo. LIBOR + 0.24% (a)................ 2.68% 04/25/37 221,251
Ownit Mortgage Loan Trust
677,941 Series 2006-6, Class A2C, 1 Mo. LIBOR + 0.32% (a)................ 2.76% 09/25/37 365,945
Palmer Square CLO Ltd.
400,000 Series 2018-1A, Class A1, 3 Mo. LIBOR + 1.03% (a) (d)............ 3.77% 04/18/31 395,906

See Notes to Financial Statements Page 93

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

Park Avenue Institutional Advisers CLO Ltd.
$ 150,000 Series 2018-1A, Class A2R, 3 Mo. LIBOR + 1.60% (a) (d)........... 4.31% 10/20/31 $ 145,561
Park Place Securities Inc Asset-Backed Pass-Through Certificates
338,020 Series 2004-WWF1, Class M5, 1 Mo. LIBOR + 1.80% (a).............. 4.24% 12/25/34 331,608
PRET LLC
1,143,307 Series 2022-RN1, Class A1, steps up to 6.72% on
02/25/25 (d) (f).............................................. 3.72% 07/25/51 1,085,496
Progress Residential Trust
1,169,000 Series 2019-SFR3, Class F (d).................................... 3.87% 09/17/36 1,133,522
1,060,000 Series 2021-SFR1, Class H (d).................................... 5.00% 04/17/38 954,920
Sabey Data Center Issuer LLC
650,000 Series 2020-1, Class A2 (d)...................................... 3.81% 04/20/45 623,753
Saxon Asset Securities Trust
74,350 Series 2005-1, Class M2, 1 Mo. LIBOR + 0.72% (a)................. 1.90% 05/25/35 71,668
Securitized Asset Backed Receivables LLC Trust
1,119,263 Series 2006-CB5, Class A3, 1 Mo. LIBOR + 0.28% (a)............... 2.72% 06/25/36 782,438
60,156 Series 2006-NC2, Class A3, 1 Mo. LIBOR + 0.48% (a)............... 2.92% 03/25/36 59,233
371,986 Series 2007-NC2, Class A2B, 1 Mo. LIBOR + 0.14% (a).............. 2.58% 01/25/37 329,595
SLC Student Loan Trust
698,345 Series 2008-1, Class A4A, 3 Mo. LIBOR + 1.60% (a)................ 3.43% 12/15/32 698,154
SLM Student Loan Trust
65,000 Series 2008-4, Class B, 3 Mo. LIBOR + 1.85% (a).................. 4.63% 04/25/73 62,816
612,187 Series 2008-5, Class A4, 3 Mo. LIBOR + 1.70% (a)................. 4.48% 07/25/23 608,336
65,000 Series 2008-5, Class B, 3 Mo. LIBOR + 1.85% (a).................. 4.63% 07/25/73 63,975
545,080 Series 2008-6, Class A4, 3 Mo. LIBOR + 1.10% (a)................. 3.88% 07/25/23 532,994
Small Business Lending Trust
572,840 Series 2019-A, Class D (d)....................................... 6.30% 07/15/26 571,265
Soundview Home Loan Trust
1,359,591 Series 2007-OPT1, Class 1A1, 1 Mo. LIBOR + 0.20% (a)............. 2.64% 06/25/37 997,717
339,248 Series 2007-OPT1, Class 2A2, 1 Mo. LIBOR + 0.15% (a)............. 2.59% 06/25/37 248,765
197,421 Series 2007-OPT3, Class 1A1, 1 Mo. LIBOR + 0.17% (a)............. 2.61% 08/25/37 175,092
Specialty Underwriting & Residential Finance Trust
1,210,969 Series 2006-AB3, Class A2C, 1 Mo. LIBOR + 0.48% (a).............. 2.92% 09/25/37 893,779
Stratus CLO Ltd.
925,000 Series 2021-3A, Class SUB (d).................................... 0.00% 12/29/29 614,584
Structured Asset Securities Corp. Mortgage Loan Trust
58,106 Series 2006-OPT1, Class A1, 1 Mo. LIBOR + 0.18% (a).............. 2.62% 04/25/36 57,408
TAL Advantage VII LLC
459,281 Series 2020-1A, Class A (d)...................................... 2.05% 09/20/45 414,458
Textainer Marine Containers VII Ltd.
817,161 Series 2020-2A, Class A (d)...................................... 2.10% 09/20/45 735,867
82,558 Series 2020-3A, Class A (d)...................................... 2.11% 09/20/45 74,243
TRP LLC
284,624 Series 2021-1, Class A (d)....................................... 2.07% 06/19/51 250,527
VOYA CLO
175,000 Series 2017-2A, Class A2AR, 3 Mo. LIBOR + 1.65% (a) (d).......... 4.16% 06/07/30 171,225
Wachovia Student Loan Trust
740,529 Series 2006-1, Class B, 3 Mo. LIBOR + 0.24% (a) (d).............. 3.02% 04/25/40 686,026
WaMu Asset-Backed Certificates WaMu Trust
1,081,237 Series 2007-HE1, Class 2A4, 1 Mo. LIBOR + 0.23% (a).............. 2.67% 01/25/37 563,296
--------------
TOTAL ASSET-BACKED SECURITIES.................................................................. 45,866,206
(Cost $50,204,656) --------------

Page 94 See Notes to Financial Statements

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

$ 705,000 U.S. Treasury Bond.................................................. 2.00% 11/15/41 $ 550,575
465,000 U.S. Treasury Bond.................................................. 2.38% 02/15/42 387,330
100,000 U.S. Treasury Bond.................................................. 3.00% 08/15/52 95,172
1,880,000 U.S. Treasury Note.................................................. 3.00% 07/31/24 1,864,505
2,895,000 U.S. Treasury Note.................................................. 3.25% 08/31/24 2,884,144
305,000 U.S. Treasury Note.................................................. 3.13% 08/15/25 302,141
570,000 U.S. Treasury Note.................................................. 3.25% 06/30/27 568,285
1,550,000 U.S. Treasury Note.................................................. 2.75% 07/31/27 1,511,068
2,770,000 U.S. Treasury Note.................................................. 3.13% 08/31/27 2,750,091
1,585,000 U.S. Treasury Note.................................................. 2.75% 08/15/32 1,533,735
--------------
TOTAL U.S. GOVERNMENT BONDS AND NOTE........................................................... 12,447,046
(Cost $12,698,143) --------------

U.S. GOVERNMENT AGENCY SECURITIES -- 4.4%

2,770,000 Federal Home Loan Banks............................................. 1.04% 06/14/24 2,640,652
760,000 Federal Home Loan Banks............................................. 1.61% 09/04/24 728,743
760,000 Federal Home Loan Banks............................................. 1.61% 09/04/24 728,744
4,230,000 Federal Home Loan Banks............................................. 1.20% 12/23/24 4,011,122
--------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES........................................................ 8,109,261
(Cost $8,520,000) --------------

U.S. TREASURY BILLS -- 9.0%

2,375,000 U.S. Treasury Bill.................................................. (b) 09/01/22 2,375,000
900,000 U.S. Treasury Bill.................................................. (b) 09/15/22 899,248
2,595,000 U.S. Treasury Bill.................................................. (b) 10/06/22 2,589,462
875,000 U.S. Treasury Bill.................................................. (b) 10/20/22 872,055
1,240,000 U.S. Treasury Bill.................................................. (b) 11/03/22 1,234,317
1,160,000 U.S. Treasury Bill.................................................. (b) 12/01/22 1,151,595
1,010,000 U.S. Treasury Bill.................................................. (b) 01/05/23 999,516
6,740,000 U.S. Treasury Bill.................................................. (b) 01/19/23 6,661,301
--------------
TOTAL U.S. TREASURY BILLS...................................................................... 16,782,494
(Cost $16,795,168) --------------

SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
MONEY MARKET FUNDS -- 5.1%

9,430,866 JPMorgan 100% U.S. Treasury Securities Money Market Fund - Institutional Class - 1.87% (i)..... 9,430,866
(Cost $9,430,866) --------------
TOTAL INVESTMENTS -- 147.9%.................................................................... 274,429,296
(Cost $287,081,488)
NET OTHER ASSETS AND LIABILITIES -- (47.9)%.................................................... (88,921,971)
--------------
NET ASSETS -- 100.0%........................................................................... $ 185,507,325
==============

See Notes to Financial Statements Page 95

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

FORWARD FOREIGN CURRENCY CONTRACTS AT AUGUST 31, 2022 (See Note 2E - Forward Foreign Currency Contracts in the Notes to Financial
Statements):

10/07/2022 GS USD 1,357,765 EUR 1,283,000 $ 1,357,765 $ 1,292,606 $ 65,159
10/07/2022 Citi USD 1,881,050 GBP 1,535,000 1,881,050 1,784,523 96,527
10/07/2022 GS EUR 80,000 USD 81,196 80,599 81,196 (597)
10/07/2022 Citi GBP 226,000 USD 271,513 262,737 271,513 (8,776)
--------------
Net Unrealized Appreciation (Depreciation) $ 152,313
==============

Counterparty Abbreviations:
Citi - Citibank N.A.
GS - Goldman Sachs and Co.

FUTURES CONTRACTS AT AUGUST 31, 2022 (See Note 2D - Futures Contracts in the Notes to Financial Statements):

U.S. 2-Year Treasury Notes Long 114 Dec-2022 $ 23,749,406 $ (52,013)
U.S. 5-Year Treasury Notes Long 94 Dec-2022 10,417,110 (49,127)
Ultra 10-Year U.S. Treasury Notes Long 48 Dec-2022 6,009,000 (37,575)
Ultra U.S. Treasury Bond Futures Short 14 Dec-2022 (2,093,000) 4,427
--------------- --------------
$ 38,082,516 $ (134,288)
=============== ==============

(a) Floating or variable rate security.

(b) Zero coupon security.

(c) Collateral Strip Rate security. Coupon is based on the weighted net
interest rate of the investment's underlying collateral. The interest rate
resets periodically.

(d) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A of the Securities Act
of 1933, as amended (the "1933 Act"), and may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P.,
the Fund's Advisor (the "Advisor"). Although market instability can result
in periods of increased overall market illiquidity, liquidity for each
security is determined based on security specific factors and assumptions,
which require subjective judgment. At August 31, 2022, securities noted as
such amounted to $52,961,241 or 28.5% of net assets.

(e) All or a portion of this security is part of a mortgage dollar roll
agreement (see Note 2K - Mortgage Dollar Rolls in the Notes to Financial
Statements).

(f) Step-up security. A security where the coupon increases or steps up at a
predetermined date.

(g) This security may be resold to qualified foreign investors and foreign
institutional buyers under Regulation S of the 1933 Act.

(h) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A under the 1933 Act,
and may be resold in transactions exempt from registration, normally to
qualified institutional buyers (see Note 2C - Restricted Securities in the
Notes to Financial Statements).

(i) Rate shown reflects yield as of August 31, 2022.

Page 96 See Notes to Financial Statements

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

EURIBOR - Euro Interbank Offered Rate
IO - Interest-Only Security - Principal amount shown represents par value
on which interest payments are based
LIBOR - London Interbank Offered Rate
PO - Principal-Only Security
SOFR - Secured Overnight Financing Rate
SONIA - Sterling Overnight Index Average
TBA - To-Be-Announced Security

Currency Abbreviations:
GBP - British Pound Sterling
EUR - Euro
USD - United States Dollar

-----------------------------
VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of August 31,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
---------------- --------------- ---------------- ----------------

U.S. Government Agency Mortgage-Backed Securities.... $ 126,545,043 $ -- $ 126,545,043 $ --
Mortgage-Backed Securities........................... 55,248,380 -- 55,248,380 --
Asset-Backed Securities.............................. 45,866,206 -- 45,866,206 --
U.S. Government Bonds and Notes...................... 12,447,046 -- 12,447,046 --
U.S. Government Agency Securities.................... 8,109,261 -- 8,109,261 --
U.S. Treasury Bills.................................. 16,782,494 -- 16,782,494 --
Money Market Funds................................... 9,430,866 9,430,866 -- --
---------------- --------------- ---------------- ----------------
Total Investments.................................... 274,429,296 9,430,866 264,998,430 --
Forward Foreign Currency Contracts................... 161,686 -- 161,686 --
Futures Contracts*................................... 4,427 4,427 -- --
---------------- --------------- ---------------- ----------------
Total................................................ $ 274,595,409 $ 9,435,293 $ 265,160,116 $ --
================ =============== ================ ================

LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
2/28/2022 PRICES INPUTS INPUTS
---------------- --------------- ---------------- ----------------
Forward Foreign Currency Contracts................... $ (9,373) $ -- $ (9,373) $ --
Futures Contracts*................................... (138,715) (138,715) -- --
---------------- --------------- ---------------- ----------------
Total. . . .......................................... $ (148,088) $ (138,715) $ (9,373) $ --
================ =============== ================ ================

* Includes cumulative appreciation/depreciation on futures contracts as
reported in the Futures Contracts table. Only the current day's variation
margin is presented on the Statements of Assets and Liabilities.

See Notes to Financial Statements Page 97

FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS
AUGUST 31, 2022

ANGOLA -- 2.6%
250,000 Angolan Government International Bond (USD) (a)..................... 8.75% 04/14/32 $ 205,610
--------------

ARGENTINA -- 1.0%
18,177 Argentine Republic Government International Bond, steps up to
3.63% on 07/10/2023 (USD) (b).................................... 1.50% 07/09/35 4,112
128,605 Argentine Republic Government International Bond, steps up to
4.25% on 07/10/2023 (USD) (b).................................... 3.88% 01/09/38 36,330
143,894 Argentine Republic Government International Bond, steps up to
4.88% on 07/10/2029 (USD) (b).................................... 3.50% 07/09/41 38,026
--------------
78,468
--------------

BRAZIL -- 2.2%
200,000 Brazilian Government International Bond (USD)....................... 3.88% 06/12/30 174,963
--------------

CHILE -- 2.8%
300,000 Chile Government International Bond (USD)........................... 3.10% 05/07/41 220,697
--------------

DOMINICAN REPUBLIC -- 4.0%
250,000 Dominican Republic International Bond (USD) (a)..................... 4.88% 09/23/32 202,662
150,000 Dominican Republic International Bond (USD) (a)..................... 5.30% 01/21/41 111,626
--------------
314,288
--------------

ECUADOR -- 1.0%
42,000 Ecuador Government International Bond, steps up to 3.50% on
08/01/2023 (USD) (a) (b)......................................... 2.50% 07/31/35 16,267
112,700 Ecuador Government International Bond, steps up to 6.00% on
08/01/2023 (USD) (b) (c)......................................... 5.50% 07/31/30 60,117
--------------
76,384
--------------

EGYPT -- 3.1%
300,000 Egypt Government International Bond (USD) (c)....................... 6.59% 02/21/28 237,941
--------------

GABON -- 1.9%
200,000 Gabon Government International Bond (USD) (c)....................... 6.63% 02/06/31 149,306
--------------

GUATEMALA -- 2.0%
200,000 Guatemala Government Bond (USD) (a)................................. 4.65% 10/07/41 159,036
--------------

INDONESIA -- 2.1%
200,000 Perusahaan Penerbit SBSN Indonesia III (USD) (a).................... 3.80% 06/23/50 165,446
--------------

IRAQ -- 1.9%
171,875 Iraq International Bond (USD) (c)................................... 5.80% 01/15/28 144,001
--------------

JORDAN -- 2.6%
200,000 Jordan Government International Bond (USD) (a)...................... 7.75% 01/15/28 198,650
--------------

MEXICO -- 5.6%
200,000 Mexico Government International Bond (USD).......................... 4.88% 05/19/33 192,129
300,000 Mexico Government International Bond (USD).......................... 4.28% 08/14/41 242,029
--------------
434,158
--------------

NIGERIA -- 1.7%
200,000 Nigeria Government International Bond (USD) (a)..................... 7.70% 02/23/38 128,816
--------------

Page 98 See Notes to Financial Statements

FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

OMAN -- 2.6%
200,000 Oman Government International Bond (USD) (c)........................ 6.00% 08/01/29 $ 200,092
--------------

PANAMA -- 3.0%
300,000 Panama Government International Bond (USD).......................... 2.25% 09/29/32 234,125
--------------

PARAGUAY -- 2.0%
200,000 Paraguay Government International Bond (USD) (c).................... 2.74% 01/29/33 158,789
--------------

PERU -- 3.0%
100,000 Peruvian Government International Bond (USD)........................ 2.78% 01/23/31 85,398
184,000 Peruvian Government International Bond (USD)........................ 3.00% 01/15/34 150,563
--------------
235,961
--------------

PHILIPPINES -- 3.5%
100,000 Philippine Government International Bond (USD)...................... 6.38% 10/23/34 115,357
200,000 Philippine Government International Bond (USD)...................... 3.20% 07/06/46 155,745
--------------
271,102
--------------

QATAR -- 2.6%
200,000 Qatar Government International Bond (USD) (a)....................... 3.75% 04/16/30 201,495
--------------

ROMANIA -- 1.4%
114,000 Romanian Government International Bond (USD) (a).................... 3.00% 02/27/27 103,076
4,000 Romanian Government International Bond (USD) (a).................... 3.00% 02/14/31 3,200
--------------
106,276
--------------

SOUTH AFRICA -- 2.3%
200,000 Republic of South Africa Government International Bond (USD)........ 4.85% 09/30/29 177,746
--------------

TURKEY -- 2.1%
200,000 Turkey Government International Bond (USD).......................... 4.25% 04/14/26 166,570
--------------

UNITED ARAB EMIRATES -- 2.8%
250,000 Abu Dhabi Government International Bond (USD) (c)................... 1.70% 03/02/31 214,523
--------------

URUGUAY -- 1.7%
104,000 Uruguay Government International Bond (USD)......................... 4.38% 01/23/31 106,716
25,000 Uruguay Government International Bond (USD)......................... 4.98% 04/20/55 25,220
--------------
131,936
--------------
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES........................................................ 4,786,379
(Cost $5,581,429) --------------

FOREIGN CORPORATE BONDS AND NOTES -- 34.3%

ELECTRIC -- 2.4%
200,000 Eskom Holdings SOC Ltd. (USD) (c)................................... 6.35% 08/10/28 189,824
--------------

INTERNET -- 2.2%
200,000 Alibaba Group Holding Ltd. (USD).................................... 4.00% 12/06/37 168,308
--------------

MINING -- 5.9%
200,000 Freeport Indonesia PT (USD) (a)..................................... 5.32% 04/14/32 185,952
275,000 Indonesia Asahan Aluminium Persero PT (USD) (a)..................... 5.45% 05/15/30 270,248
--------------
456,200
--------------

See Notes to Financial Statements Page 99

FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

OIL & GAS -- 21.7%
15,000 Ecopetrol S.A. (USD)................................................ 4.63% 11/02/31 $ 11,741
30,000 Ecopetrol S.A. (USD)................................................ 5.88% 11/02/51 20,181
200,000 Gran Tierra Energy, Inc. (USD) (c).................................. 7.75% 05/23/27 164,736
200,000 KazMunayGas National Co. JSC (USD) (a).............................. 3.50% 04/14/33 158,045
200,000 Oil and Gas Holding (The) Co. BSCC (USD) (c)........................ 7.63% 11/07/24 203,605
81,000 Petroleos Mexicanos (USD)........................................... 6.63% 06/15/35 58,283
120,000 Petroleos Mexicanos (USD)........................................... 6.50% 06/02/41 76,782
149,000 Petroleos Mexicanos (USD)........................................... 7.69% 01/23/50 102,813
200,000 Qatar Energy (USD) (a).............................................. 2.25% 07/12/31 174,825
200,000 Qatar Energy (USD) (a).............................................. 3.13% 07/12/41 163,163
200,000 SA Global Sukuk Ltd. (USD) (c)...................................... 2.69% 06/17/31 182,258
225,000 Saudi Arabian Oil Co. (USD) (c)..................................... 2.25% 11/24/30 196,331
200,000 Tengizchevroil Finance Co. International Ltd. (USD) (c)............. 4.00% 08/15/26 172,670
--------------
1,685,433
--------------

PIPELINES -- 2.1%
196,522 Galaxy Pipeline Assets Bidco Ltd. (USD) (a)......................... 2.94% 09/30/40 164,476
--------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES........................................................ 2,664,241
(Cost $2,904,481) --------------

SHARES DESCRIPTION VALUE
-------------- ----------------------------------------------------------------------------------------------- --------------
MONEY MARKET FUNDS -- 3.1%

244,275 JPMorgan 100% U.S. Treasury Securities Money Market Fund - Institutional Class - 1.87% (d)..... 244,275
(Cost $244,275) --------------

TOTAL INVESTMENTS -- 98.9%..................................................................... 7,694,895
(Cost $8,730,185)
NET OTHER ASSETS AND LIABILITIES -- 1.1%....................................................... 87,002
--------------
NET ASSETS -- 100.0%........................................................................... $ 7,781,897
==============

(a) This security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under Rule 144A of the Securities Act
of 1933, as amended (the "1933 Act"), and may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
Pursuant to procedures adopted by the Trust's Board of Trustees, this
security has been determined to be liquid by First Trust Advisors L.P.,
the Fund's Advisor. Although market instability can result in periods of
increased overall market illiquidity, liquidity for each security is
determined based on security specific factors and assumptions, which
require subjective judgment. At August 31, 2022, securities noted as such
amounted to $2,612,593 or 33.6% of net assets.

(b) Step-up security. A security where the coupon increases or steps up at a
predetermined date.

(c) This security may be resold to qualified foreign investors and foreign
institutional buyers under Regulation S of the 1933 Act.

(d) Rate shown reflects yield as of August 31, 2022.

Currency Abbreviations:
USD - United States Dollar

Page 100 See Notes to Financial Statements

FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2022

-----------------------------
VALUATION INPUTS

A summary of the inputs used to value the Fund's investments as of August 31,
2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):

LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
8/31/2022 PRICES INPUTS INPUTS
---------------- --------------- ---------------- ----------------

Foreign Sovereign Bonds and Notes*................... $ 4,786,379 $ -- $ 4,786,379 $ --
Foreign Corporate Bonds and Notes**.................. 2,664,241 -- 2,664,241 --
Money Market Funds................................... 244,275 244,275 -- --
---------------- --------------- ---------------- ----------------
Total Investments.................................... $ 7,694,895 $ 244,275 $ 7,450,620 $ --
================ =============== ================ ================

* See Portfolio of Investments for country breakout.
** See Portfolio of Investments for industry breakout.

See Notes to Financial Statements Page 101

FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF ASSETS AND LIABILITIES
AUGUST 31, 2022

FIRST TRUST TCW FIRST TRUST TCW FIRST TRUST TCW FIRST TRUST TCW
OPPORTUNISTIC UNCONSTRAINED SECURITIZED EMERGING
FIXED INCOME PLUS BOND PLUS MARKETS DEBT
ETF ETF ETF ETF
(FIXD) (UCON) (DEED) (EFIX)
--------------- --------------- --------------- ---------------

ASSETS:
Investments, at value.............................. $ 4,179,978,378 $ 1,433,106,770 $ 274,429,296 $ 7,694,895
Options contracts purchased, at value.............. 12,819 -- -- --
Swap contracts, at value........................... 7,362,896 865,964 -- --
Cash............................................... 8,850,236 -- 744,189 --
Cash segregated as collateral for open swap
contracts....................................... 26,120,669 4,004,898 -- --
Cash segregated as collateral for open futures
contracts....................................... 23,777,000 5,734,829 455,000 --
Unrealized appreciation on forward foreign
currency contracts.............................. 262,630 133,993 161,686 --
Due from authorized participant.................... -- 38,250 -- --
Receivables:
Investment securities sold...................... 482,544,524 149,887,301 61,083,017 29,267
Interest........................................ 18,766,934 7,211,802 836,116 90,965
Variation margin................................ 243,448 675,117 6,328 --
Dividends....................................... 149,633 42,989 8,453 450
Capital shares sold............................. -- 3,697,173 -- --
Reclaims........................................ -- -- 490 --
--------------- --------------- --------------- ---------------
Total Assets.................................... 4,748,069,167 1,605,399,086 337,724,575 7,815,577
--------------- --------------- --------------- ---------------

LIABILITIES:
Due to custodian................................... -- 507,525 -- --
Options contracts written, at value................ 19,906 -- -- --
Swap contracts, at value........................... 24,639,372 3,592,734 -- --
Unrealized depreciation on forward foreign
currency contracts.............................. -- -- 9,373 --
Payables:
Investment securities purchased................. 1,173,287,255 331,690,584 152,103,689 27,933
Investment advisory fees........................ 1,679,656 793,705 104,188 5,747
--------------- --------------- --------------- ---------------
Total Liabilities............................... 1,199,626,189 336,584,548 152,217,250 33,680
--------------- --------------- --------------- ---------------
NET ASSETS......................................... $ 3,548,442,978 $ 1,268,814,538 $ 185,507,325 $ 7,781,897
=============== =============== =============== ===============

NET ASSETS CONSIST OF:
Paid-in capital.................................... $ 4,258,991,692 $ 1,346,571,645 $ 216,912,170 $ 10,834,139
Par value.......................................... 768,500 516,500 81,500 5,000
Accumulated distributable earnings (loss).......... (711,317,214) (78,273,607) (31,486,345) (3,057,242)
--------------- --------------- --------------- ---------------
NET ASSETS......................................... $ 3,548,442,978 $ 1,268,814,538 $ 185,507,325 $ 7,781,897
=============== =============== =============== ===============
NET ASSET VALUE, per share......................... $ 46.17 $ 24.57 $ 22.76 $ 15.56
=============== =============== =============== ===============
Number of shares outstanding (unlimited number of
shares authorized, par value $0.01 per share)... 76,850,002 51,650,002 8,150,002 50,002
=============== =============== =============== ===============
Investments, at cost............................... $ 4,497,824,224 $ 1,508,882,055 $ 287,081,488 $ 8,730,185
=============== =============== =============== ===============
Premiums paid on options contracts purchased....... $ 1,113,442 $ -- $ -- $ --
=============== =============== =============== ===============
Premiums received on options contracts written..... $ 1,053,958 $ -- $ -- $ --
=============== =============== =============== ===============

Page 102 See Notes to Financial Statements

FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 2022

INVESTMENT INCOME:
Interest........................................... $ 105,545,540 $ 30,674,278 $ 6,154,581 $ 623,790
Dividends.......................................... 427,814 98,549 24,498 1,303
--------------- --------------- --------------- ---------------
Total investment income......................... 105,973,354 30,772,827 6,179,079 625,093
--------------- --------------- --------------- ---------------

EXPENSES:
Investment advisory fees........................... 30,140,760 8,430,707 1,814,295 122,515
--------------- --------------- --------------- ---------------
Total expenses.................................. 30,140,760 8,430,707 1,814,295 122,515
Less fees waived by the investment advisor...... (4,637,040) (991,848) (241,906) (12,896)
--------------- --------------- --------------- ---------------
Net expenses.................................... 25,503,720 7,438,859 1,572,389 109,619
--------------- --------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS)....................... 80,469,634 23,333,968 4,606,690 515,474
--------------- --------------- --------------- ---------------

NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments..................................... (332,384,182) (22,586,904) (18,790,631) (1,839,309)
Futures contracts............................... 1,164,316 18,843,815 (1,374,033) --
Purchased swaptions contracts................... 731,036 -- -- --
Purchased options contracts..................... 1,943,723 -- -- --
Written swaptions contracts..................... 719,597 157,853 -- --
Written options contracts....................... (15,952,507) -- -- --
Forward foreign currency contracts.............. 3,093,466 237,168 386,587 --
Swap contracts.................................. (29,429) 151,921 -- --
Foreign currency transactions................... (209,608) 5,283 23,650 (3,448)
--------------- --------------- --------------- ---------------
Net realized gain (loss)........................... (340,923,588) (3,190,864) (19,754,427) (1,842,757)
--------------- --------------- --------------- ---------------
Net change in unrealized appreciation
(depreciation) on:
Investments..................................... (374,955,293) (81,469,903) (13,550,802) (1,096,350)
Purchased swaptions contracts................... 44,321 -- -- --
Purchased options contracts..................... (1,234,771) -- -- --
Written options contracts....................... 1,011,380 -- -- --
Futures contracts............................... (490,310) 865,345 (129,613) --
Forward foreign currency contracts.............. 262,630 133,993 151,299 --
Swap contracts.................................. (16,971,575) (2,694,881) -- --
Foreign currency translation.................... (1,466) (994) (806) 140
--------------- --------------- --------------- ---------------
Net change in unrealized appreciation
(depreciation).................................. (392,335,084) (83,166,440) (13,529,922) (1,096,210)
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED
GAIN (LOSS)..................................... (733,258,672) (86,357,304) (33,284,349) (2,938,967)
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS....................... $ (652,789,038) $ (63,023,336) $ (28,677,659) $ (2,423,493)
=============== =============== =============== ===============

See Notes to Financial Statements Page 103

FIRST TRUST EXCHANGE-TRADED FUND VIII
STATEMENTS OF CHANGES IN NET ASSETS

FIRST TRUST TCW FIRST TRUST TCW
OPPORTUNISTIC FIXED UNCONSTRAINED
INCOME ETF PLUS BOND ETF
(FIXD) (UCON)
---------------------------------- ----------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
8/31/2022 8/31/2021 8/31/2022 8/31/2021
---------------- ---------------- ---------------- ----------------

OPERATIONS:
Net investment income (loss).............................. $ 80,469,634 $ 64,284,996 $ 23,333,968 $ 6,253,847
Net realized gain (loss).................................. (340,923,588) (18,394,631) (3,190,864) 5,247,642
Net change in unrealized appreciation (depreciation)...... (392,335,084) (9,964,130) (83,166,440) (817,200)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting
from operations........................................ (652,789,038) 35,926,235 (63,023,336) 10,684,289
---------------- ---------------- ---------------- ----------------

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................... (82,614,627) (135,544,495) (21,248,341) (8,311,326)
Return of capital......................................... -- (3,126,328) -- --
---------------- ---------------- ---------------- ----------------
Total distributions to shareholders....................... (82,614,627) (138,670,823) (21,248,341) (8,311,326)
---------------- ---------------- ---------------- ----------------

SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 394,188,882 1,797,708,750 775,430,197 401,649,334
Cost of shares redeemed................................... (1,408,009,711) (37,801,569) (30,661,288) --
---------------- ---------------- ---------------- ----------------
Net increase (decrease) in net assets resulting
from shareholder transactions.......................... (1,013,820,829) 1,759,907,181 744,768,909 401,649,334
---------------- ---------------- ---------------- ----------------
Total increase (decrease) in net assets................... (1,749,224,494) 1,657,162,593 660,497,232 404,022,297

NET ASSETS:
Beginning of period....................................... 5,297,667,472 3,640,504,879 608,317,306 204,295,009
---------------- ---------------- ---------------- ----------------
End of period............................................. $ 3,548,442,978 $ 5,297,667,472 $ 1,268,814,538 $ 608,317,306
================ ================ ================ ================

CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................... 98,150,002 66,000,002 22,900,002 7,800,002
Shares sold............................................... 7,900,000 32,850,000 30,000,000 15,100,000
Shares redeemed........................................... (29,200,000) (700,000) (1,250,000) --
---------------- ---------------- ---------------- ----------------
Shares outstanding, end of period......................... 76,850,002 98,150,002 51,650,002 22,900,002
================ ================ ================ ================

(a) Inception date is February 17, 2021, which is consistent with the
commencement of investment operations and is the date the initial creation
units were established.

Page 104 See Notes to Financial Statements

FIRST TRUST TCW FIRST TRUST TCW
SECURITIZED EMERGING MARKETS
PLUS ETF DEBT ETF
(DEED) (EFIX)
---------------------------------- ----------------------------------
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED
8/31/2022 8/31/2021 8/31/2022 8/31/2021 (a)
---------------- ---------------- ---------------- ----------------

$ 4,606,690 $ 790,516 $ 515,474 $ 393,399
(19,754,427) 1,584,680 (1,842,757) (111,065)
(13,529,922) 204,936 (1,096,210) 60,920
---------------- ---------------- ---------------- ----------------

(28,677,659) 2,580,132 (2,423,493) 343,254
---------------- ---------------- ---------------- ----------------

(4,631,176) (1,603,367) (549,502) (427,501)
-- -- -- --
---------------- ---------------- ---------------- ----------------
(4,631,176) (1,603,367) (549,502) (427,501)
---------------- ---------------- ---------------- ----------------

84,294,818 203,281,137 -- 20,034,040
(93,022,828) (2,590,248) (9,194,901) --
---------------- ---------------- ---------------- ----------------

(8,728,010) 200,690,889 (9,194,901) 20,034,040
---------------- ---------------- ---------------- ----------------
(42,036,845) 201,667,654 (12,167,896) 19,949,793

227,544,170 25,876,516 19,949,793 --
---------------- ---------------- ---------------- ----------------
$ 185,507,325 $ 227,544,170 $ 7,781,897 $ 19,949,793
================ ================ ================ ================

8,750,002 1,000,002 1,000,002 --
3,250,000 7,850,000 -- 1,000,002
(3,850,000) (100,000) (500,000) --
---------------- ---------------- ---------------- ----------------
8,150,002 8,750,002 500,002 1,000,002
================ ================ ================ ================

See Notes to Financial Statements Page 105

FIRST TRUST EXCHANGE-TRADED FUND VIII
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF (FIXD)

YEAR ENDED AUGUST 31,
------------------------------------------------------------------------
2022 2021 2020 2019 2018
------------ ------------ ------------ ------------ ------------

Net asset value, beginning of period................. $ 53.98 $ 55.16 $ 52.97 $ 49.40 $ 51.01
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)......................... 0.88 0.76 1.06 1.39 1.15
Net realized and unrealized gain (loss).............. (7.76) (0.34) 2.85 3.63 (1.46)
---------- ---------- ---------- ---------- ----------
Total from investment operations..................... (6.88) 0.42 3.91 5.02 (0.31)
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income................................ (0.93) (0.81) (1.12) (1.45) (1.30)
Net realized gain.................................... -- (0.75) (0.60) -- (0.00) (b)
Return of capital.................................... -- (0.04) -- -- --
---------- ---------- ---------- ---------- ----------
Total distributions.................................. (0.93) (1.60) (1.72) (1.45) (1.30)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period....................... $ 46.17 $ 53.98 $ 55.16 $ 52.97 $ 49.40
========== ========== ========== ========== ==========
TOTAL RETURN (c)..................................... (12.84)% 0.77% 7.57% 10.33% (0.57)%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................. $3,548,443 $5,297,667 $3,640,505 $ 900,459 $ 318,605
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets........ 0.65% 0.65% 0.65% 0.65% 0.65%
Ratio of net expenses to average net assets.......... 0.55% 0.55% 0.55% 0.55% 0.55%
Ratio of net investment income (loss) to average
net assets........................................ 1.74% 1.34% 1.61% 2.69% 2.29%
Portfolio turnover rate (d) (e)...................... 445% 497% 431% 246% 358%

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF (UCON)

PERIOD
YEAR ENDED AUGUST 31, ENDED
--------------------------------------------------------- ------------
2022 2021 2020 2019 8/31/2018 (a)
------------ ------------ ------------ ------------ ------------

Net asset value, beginning of period................. $ 26.56 $ 26.19 $ 25.79 $ 25.12 $ 25.00
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)......................... 0.55 0.53 0.75 0.77 0.17
Net realized and unrealized gain (loss).............. (2.01) 0.52 0.50 0.75 0.10
---------- ---------- ---------- ---------- ----------
Total from investment operations..................... (1.46) 1.05 1.25 1.52 0.27
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income................................ (0.52) (0.51) (0.85) (0.81) (0.15)
Net realized gain.................................... (0.01) (0.17) -- (0.04) --
---------- ---------- ---------- ---------- ----------
Total distributions.................................. (0.53) (0.68) (0.85) (0.85) (0.15)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period....................... $ 24.57 $ 26.56 $ 26.19 $ 25.79 $ 25.12
========== ========== ========== ========== ==========
TOTAL RETURN (c)..................................... (5.55)% 4.04% 4.97% 6.15% 1.06%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................. $1,268,815 $ 608,317 $ 204,295 $ 207,606 $ 25,125
Ratios to average net assets:
Ratio of total expenses to average net assets........ 0.85% 0.85% 0.85% 0.85% 0.85% (f)
Ratio of net expenses to average net assets.......... 0.75% 0.75% 0.75% 0.75% 0.75% (f)
Ratio of net investment income (loss) to average
net assets........................................ 2.35% 1.90% 2.88% 3.16% 2.68% (f)
Portfolio turnover rate (d).......................... 208% (g) 190% (g) 111% (g) 40% (g) 70%

(a) Inception date is June 4, 2018, which is consistent with the commencement
of investment operations and is the date the initial creation units were
established.

(b) Amount is less than $0.01.

(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived by the investment advisor.

(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.

(e) The portfolio turnover rate not including mortgage dollar rolls was 271%,
282%, 270%, 223% and 241% for the periods ending August 31, 2022, August
31, 2021, August 31, 2020, August 31, 2019 and August 31, 2018,
respectively. (f) Annualized.

(g) The portfolio turnover rate not including mortgage dollar rolls was 43%,
40%, 67% and 39% for the periods ending August 31, 2022, August 31, 2021,
August 31, 2020 and August 31, 2019 respectively.

Page 106 See Notes to Financial Statements

FIRST TRUST EXCHANGE-TRADED FUND VIII
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD

FIRST TRUST TCW SECURITIZED PLUS ETF (DEED)

PERIOD
YEAR ENDED AUGUST 31, ENDED
--------------------------- ------------
2022 2021 8/31/2020 (a)
------------ ------------ ------------

Net asset value, beginning of period................. $ 26.01 $ 25.88 $ 25.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)......................... 0.49 0.28 0.08
Net realized and unrealized gain (loss).............. (3.28) 0.47 0.87
---------- ---------- ----------
Total from investment operations..................... (2.79) 0.75 0.95
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income................................ (0.39) (0.29) (0.07)
Net realized gain.................................... (0.07) (0.33) --
---------- ---------- ----------
Total distributions.................................. (0.46) (0.62) (0.07)
---------- ---------- ----------
Net asset value, end of period....................... $ 22.76 $ 26.01 $ 25.88
========== ========== ==========
TOTAL RETURN (b)..................................... (10.87)% 2.93% 3.80%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................. $ 185,507 $ 227,544 $ 25,877
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets........ 0.75% 0.75% 0.75% (c)
Ratio of net expenses to average net assets.......... 0.65% 0.65% 0.65% (c)
Ratio of net investment income (loss) to average
net assets........................................ 1.90% 0.98% 0.94% (c)
Portfolio turnover rate (d) (e)...................... 678% 678% 186%

FIRST TRUST TCW EMERGING MARKETS DEBT ETF (EFIX)

YEAR PERIOD
ENDED ENDED
8/31/2022 8/31/2021 (a)
------------ ------------

Net asset value, beginning of period................. $ 19.95 $ 20.00
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)......................... 0.70 0.40
Net realized and unrealized gain (loss).............. (4.33) (0.02)
---------- ----------
Total from investment operations..................... (3.63) 0.38
---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income................................ (0.76) (0.43)
---------- ----------
Net asset value, end of period....................... $ 15.56 $ 19.95
========== ==========
TOTAL RETURN (b)..................................... (18.52)% 1.93%

RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................. $ 7,782 $ 19,950
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets........ 0.95% 0.95% (c)
Ratio of net expenses to average net assets.......... 0.85% 0.85% (c)
Ratio of net investment income (loss) to average
net assets........................................ 4.00% 3.75% (c)
Portfolio turnover rate (d).......................... 125% 100%

(a) Inception dates for DEED and EFIX are April 29, 2020 and February 17,
2021, respectively, which are consistent with the respective Fund's
commencement of investment operations and are the dates the initial
creation units were established.

(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived by the investment advisor.

(e) The portfolio turnover rate not including mortgage dollar rolls was 272%,
299% and 21% for the periods ending August 31, 2022, August 31, 2021 and
August 31, 2020, respectively.

See Notes to Financial Statements Page 107

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------

FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

1. ORGANIZATION

First Trust Exchange-Traded Fund VIII (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on February 22,
2016, and is registered with the Securities and Exchange Commission ("SEC")
under the Investment Company Act of 1940, as amended (the "1940 Act").

The Trust currently consists of fifty-six funds that are offering shares. This
report covers the four funds (each a "Fund" and collectively, the "Funds")
listed below:

First Trust TCW Opportunistic Fixed Income ETF - (The Nasdaq Stock Market
LLC ("Nasdaq") ticker "FIXD")
First Trust TCW Unconstrained Plus Bond ETF - (NYSE Arca, Inc. ("NYSE
Arca") ticker "UCON")
First Trust TCW Securitized Plus ETF - (NYSE Arca ticker "DEED")
First Trust TCW Emerging Markets Debt ETF - (NYSE Arca ticker "EFIX")

Each Fund represents a separate series of shares of beneficial interest in the
Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on
a continuous basis, at net asset value ("NAV"), only in large blocks of shares
known as "Creation Units."

Each Fund is an actively managed exchange-traded fund. FIXD's, UCON's, and
DEED's investment objective is to seek to maximize long-term total return.
EFIX's investment objective is to seek to provide high total return from current
income and capital appreciation. Each of FIXD and UCON seeks to achieve its
investment objective by investing, under normal market conditions, at least 80%
of its net assets (including investment borrowings) in fixed income securities.
DEED seeks to achieve its investment objective by investing, under normal market
conditions, at least 80% of its net assets (including investment borrowings) in
securitized debt securities. EFIX seeks to achieve its investment objective by
investing, under normal market conditions, at least 80% of its net assets
(including investment borrowings) in debt securities issued or guaranteed by
companies, financial institutions and government entities located in emerging
market countries.

2. SIGNIFICANT ACCOUNTING POLICIES

The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.

A. PORTFOLIO VALUATION

Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Domestic debt securities and foreign
securities are priced using data reflecting the earlier closing of the principal
markets for those securities. Each Fund's NAV is calculated by dividing the
value of all assets of the Fund (including accrued interest and dividends), less
all liabilities (including accrued expenses and dividends declared but unpaid),
by the total number of shares outstanding.

Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with provisions of the 1940 Act.

Investments valued by the Advisor's Pricing Committee, if any, are footnoted as
such in the footnotes to the Portfolio of Investments. Each Fund's investments
are valued as follows:

Corporate bonds, corporate notes, U.S. government securities,
mortgage-backed securities, asset-backed securities, municipal securities,
capital preferred securities, and other debt securities are fair valued on
the basis of valuations provided by dealers who make markets in such
securities or by a third-party pricing service approved by the Trust's
Board of Trustees, which may use the following valuation inputs when
available:

1) benchmark yields;

2) reported trades;

3) broker/dealer quotes;

4) issuer spreads;

Page 108

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

5) benchmark securities;

6) bids and offers; and

7) reference data including market research publications.

Pricing services generally value fixed-income securities assuming orderly
transactions of an institutional round lot size, but a Fund may hold or
transact in such securities in smaller, odd lot sizes. Odd lots may trade
at lower prices than institutional round lots.

Common stocks and other equity securities listed on any national or
foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.

Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.

Options on swaps ("swaptions") are valued by a third-party pricing service
using a mathematical model, which incorporates a number of market data
factors, such as the trades and prices of the underlying instruments.

Shares of open-end funds are valued at fair value which is based on NAV
per share.

Senior Floating-Rate Loan Interests ("Senior Loans")(1) are not listed on
any securities exchange or board of trade. Senior Loans are typically
bought and sold by institutional investors in individually negotiated
private transactions that function in many respects like an
over-the-counter secondary market, although typically no formal
market-makers exist. This market, while having grown substantially since
its inception, generally has fewer trades and less liquidity than the
secondary market for other types of securities. Some Senior Loans have few
or no trades, or trade infrequently, and information regarding a specific
Senior Loan may not be widely available or may be incomplete. Accordingly,
determinations of the market value of Senior Loans may be based on
infrequent and dated information. Because there is less reliable,
objective data available, elements of judgment may play a greater role in
valuation of Senior Loans than for other types of securities. Typically,
Senior Loans are valued using information provided by a third-party
pricing service. The third-party pricing service primarily uses
over-the-counter pricing from dealer runs and broker quotes from
indicative sheets to value the Senior Loans.

Forward foreign currency contracts are fair valued at the current day's
interpolated foreign exchange rate, as calculated using the current day's
spot rate, and the thirty, sixty, ninety, and one-hundred eighty day
forward rates provided by a third-party pricing service.

Exchange-traded futures contracts are valued at the closing price in the
market where such contracts are principally traded. If no closing price is
available, exchange-traded futures contracts are fair valued at the mean
of their most recent bid and asked price, if available, and otherwise at
their closing bid price.

Exchange-traded options contracts are valued at the closing price in the
market where such contracts are principally traded. If no closing price is
available, exchange-traded options contracts are fair valued at the mean
of their most recent bid and asked price, if available, and otherwise at
their closing bid price.

Swaps are fair valued utilizing quotations provided by a third-party
pricing service or, if the third-party pricing service does not provide a
value, by quotes provided by the selling dealer or financial institution.

Fixed income and other debt securities having a remaining maturity of
sixty days or less when purchased are fair valued at cost adjusted for
amortization of premiums and accretion of discounts (amortized cost),
provided the Advisor's Pricing Committee has determined that the use of
amortized cost is an appropriate reflection of fair value given market and
issuer-specific conditions existing at the time of the determination.
Factors that may be considered in determining the appropriateness of the
use of amortized cost include, but are not limited to, the following:

1) the credit conditions in the relevant market and changes thereto;

2) the liquidity conditions in the relevant market and changes thereto;

3) the interest rate conditions in the relevant market and changes thereto
(such as significant changes in interest rates);

4) issuer-specific conditions (such as significant credit deterioration);
and

-----------------------------
(1) The terms "security" and "securities" used throughout the Notes to
Financial Statements include Senior Loans.

Page 109

FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

5) any other market-based data the Advisor's Pricing Committee considers
relevant. In this regard, the Advisor's Pricing Committee may use
last-obtained market-based data to assist it when valuing portfolio
securities using amortized cost.

Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended (the "1933 Act")) for which a third-party pricing service is
unable to provide a market price; securities whose trading has been formally
suspended; a security whose market or fair value price is not available from a
pre-established pricing source; a security with respect to which an event has
occurred that is likely to materially affect the value of the security after the
market has closed but before the calculation of a Fund's NAV or make it
difficult or impossible to obtain a reliable market quotation; and a security
whose price, as provided by the third-party pricing service, does not reflect
the security's fair value. As a general principle, the current fair value of a
security would appear to be the amount which the owner might reasonably expect
to receive for the security upon its current sale. When fair value prices are
used, generally they will differ from market quotations or official closing
prices on the applicable exchanges. A variety of factors may be considered in
determining the fair value of such securities, including, but not limited to,
the following:

1) the fundamental business data relating to the issuer;

2) an evaluation of the forces which influence the market in which these
securities are purchased and sold;

3) the type, size and cost of a security;

4) the financial statements of the issuer;

5) the credit quality and cash flow of the issuer, based on TCW
Investment Management Company LLC's ("TCW" or the "Sub-Advisor") or
external analysis;

6) the information as to any transactions in or offers for the security;

7) the price and extent of public trading in similar securities of the
issuer, or comparable companies;

8) the coupon payments;

9) the quality, value and salability of collateral, if any, securing the
security;

10) the business prospects of the issuer, including any ability to obtain
money or resources from a parent or affiliate and an assessment of the
issuer's management (for corporate debt only);

11) the economic, political and social prospects/developments of the
country of issue and the assessment of the country's government
leaders/officials (for sovereign debt only);

12) the prospects for the issuer's industry, and multiples (of earnings
and/or cash flows) being paid for similar businesses in that industry
(for corporate debt only); and

13) other relevant factors.

Because foreign markets may be open on different days than the days during which
investors may transact in the shares of a Fund, the value of the Fund's
securities may change on the days when investors are not able to transact in the
shares of the Fund. The value of the securities denominated in foreign
currencies is converted into U.S. dollars using exchange rates determined daily
as of the close of regular trading on the NYSE.

The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:

o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.

o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:

o Quoted prices for similar investments in active markets.

o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.

o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).

o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.

o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.

The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of August 31, 2022, is
included with each Fund's Portfolio of Investments.

Page 110

FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

In December 2020, the SEC adopted Rule 2a-5 under the 1940 Act, establishing
requirements to determine fair value in good faith for purposes of the 1940 Act.
The rule permits fund boards to designate a fund's investment adviser to perform
fair value determinations, subject to board oversight and certain other
conditions. The rule also defines when market quotations are "readily available"
for purposes of the 1940 Act and requires a fund to fair value a portfolio
investment when a market quotation is not readily available. The SEC also
adopted new Rule 31a-4 under the 1940 Act, which sets forth recordkeeping
requirements associated with fair value determinations. The compliance date for
Rule 2a-5 and Rule 31a-4 is September 8, 2022.

Effective September 8, 2022 and pursuant to the requirements of Rule 2a-5, the
Trust's Board of Trustees designated the Advisor as its valuation designee to
perform fair value determinations and approved new Advisor Valuation Procedures
for the Trust.

B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
daily on the accrual basis. Amortization of premiums and accretion of discounts
are recorded using the effective interest method.

The United Kingdom's Financial Conduct Authority (the "FCA"), which regulates
the London Interbank Offered Rates ("LIBOR") announced on March 5, 2021 that it
intended to phase-out all LIBOR reference rates, beginning December 31, 2021.
Since that announcement, the FCA has ceased publication of all non-USD LIBOR
reference rates and the 1-week and 2-month USD LIBOR reference rates as of
December 31, 2021. The remaining USD LIBOR settings will cease to be published
or no longer be representative immediately after June 30, 2023. The
International Swaps and Derivatives Association, Inc. ("ISDA") confirmed that
the FCA's March 5, 2021 announcement of its intention to cease providing LIBOR
reference rates, constituted an index cessation event under the Interbank
Offered Rates ("IBOR") Fallbacks Supplement and the ISDA 2020 IBOR Fallbacks
Protocol for all 35 LIBOR settings and confirmed that the spread adjustment to
be used in ISDA fallbacks was fixed as of the date of the announcement.

In the United States, the Alternative Reference Rates Committee (the "ARRC"), a
group of market participants convened by the Board of Governors of the Federal
Reserve System and the Federal Reserve Bank of New York in cooperation with
other federal and state government agencies, has since 2014 undertaken efforts
to identify U.S. dollar reference interest rates as alternatives to LIBOR and to
facilitate the mitigation of LIBOR-related risks. In June 2017, the ARRC
identified the Secured Overnight Financing Rate ("SOFR"), a broad measure of the
cost of cash overnight borrowing collateralized by U.S. Treasury securities, as
the preferred alternative for U.S. dollar LIBOR. The Federal Reserve Bank of New
York began daily publishing of SOFR in April 2018. There is no assurance that
any alternative reference rate, including SOFR, will be similar to or produce
the same value or economic equivalence as LIBOR or that instruments using an
alternative rate will have the same volume or liquidity. At this time, it is not
possible to predict the full impact of the elimination of LIBOR and the
establishment of an alternative reference rate on the Funds or their
investments.

Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.

Securities purchased or sold on a when-issued, delayed-delivery or forward
purchase commitment basis may have extended settlement periods. The value of the
security so purchased is subject to market fluctuations during this period. Each
Fund maintains liquid assets with a current value at least equal to the amount
of its when-issued, delayed-delivery or forward purchase commitments until
payment is made. At August 31, 2022, FIXD held $12,145,928 of when-issued or
delayed-delivery securities. At August 31, 2022, FIXD, UCON, and DEED held
$658,028,458, $172,436,837 and $85,006,447, respectively, of forward purchase
commitments.

C. RESTRICTED SECURITIES

FIXD, UCON, and DEED invest in restricted securities, which are securities that
may not be offered for public sale without first being registered under the 1933
Act. Prior to registration, restricted securities may only be resold in
transactions exempt from registration under Rule 144A under the 1933 Act,
normally to qualified institutional buyers. As of August 31, 2022, FIXD, UCON,
and DEED held restricted securities as shown in the following table that the
Advisor has deemed illiquid pursuant to procedures adopted by the Trust's Board
of Trustees. Although market instability can result in periods of increased
overall market illiquidity, liquidity for each security is determined based on
security-specific factors and assumptions, which require subjective judgment.
Each Fund does not have the right to demand that such securities be registered.
These securities are valued according to the valuation procedures as stated in
the Portfolio Valuation note (Note 2A) and are not expressed as a discount to
the carrying value of a comparable unrestricted security. There are no
unrestricted securities with the same maturity dates and yields for these
issuers.

Page 111

FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

ACQUISITION PRINCIPAL CURRENT CARRYING % OF
SECURITIES DATE VALUE PRICE COST VALUE NET ASSETS
-------------------------------------------------------------------------------------------------------------------

FIXD
Endo Dac / Endo Finance LLC /
Endo Finco, Inc., 6.00%,
06/30/28 08/04/2021 $ 1,859,000 $ 5.75 $1,180,465 $ 106,893 0.00%*

Ruby Pipeline LLC, 8.00%,
04/01/22 12/08/2017 329,909 84.00 348,942 277,124 0.01%
------------------------------------
$1,529,407 $ 384,017 0.01%
====================================
UCON
Endo Dac / Endo Finance LLC /
Endo Finco, Inc., 6.00%, 07/12/2021,
06/30/28 08/19/2021 $ 637,000 $ 5.75 $ 385,845 $ 36,628 0.00%*

07/25/2018,
Ruby Pipeline LLC, 8.00%, 04/01/2021,
04/01/22 08/02/2021 598,788 84.00 540,665 502,982 0.00%*
------------------------------------
$ 926,510 $ 539,610 0.00%*
====================================

DEED
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA,
IO, 0.09%, 08/10/44 05/19/2020 $ 1,827,783 $ 0.00** $ 0 $ 18 0.00%*
====================================

* Amount is less than 0.01%.
** Amount is less than $0.01.

D. FUTURES CONTRACTS

Each Fund may purchase or sell (i.e., is long or short) exchange-listed futures
contracts to hedge against changes in interest rates (interest rate risk).
Futures contracts are agreements between a Fund and a counterparty to buy or
sell a specific quantity of an underlying instrument at a specified price and at
a specified date. Depending on the terms of the contract, futures contracts are
settled either through physical delivery of the underlying instrument on the
settlement date or by payment of a cash settlement amount on the settlement
date. Open futures contracts can also be closed out prior to settlement by
entering into an offsetting transaction in a matching futures contract. If a
Fund is not able to enter into an offsetting transaction, the Fund will continue
to be required to maintain margin deposits on the futures contract. When the
contract is closed or expires, a Fund records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed or expired. This gain or loss is included in
"Net realized gain (loss) on futures contracts" on the Statements of Operations.

Upon entering into a futures contract, a Fund must deposit funds, called margin,
with its custodian in the name of the clearing broker equal to a specified
percentage of the current value of the contract. Open futures contacts are
marked-to-market daily with the change in value recognized as a component of
"Net change in unrealized appreciation (depreciation) on futures contracts" on
the Statements of Operations. Pursuant to the contract, a Fund agrees to receive
from or pay to the broker an amount of cash equal to the daily fluctuation in
value of the contract. Such receipts or payments are known as variation margin
and are included in "Variation margin" receivable or payable on the Statements
of Assets and Liabilities. If market conditions change unexpectedly, a Fund may
not achieve the anticipated benefits of the futures contract and may realize a
loss. The use of futures contracts involves the risk of imperfect correlation in
movements in the price of the futures contracts, interest rates and the
underlying instruments.

E. FORWARD FOREIGN CURRENCY CONTRACTS

Each Fund is subject to foreign currency risk in the normal course of pursuing
its investment objective. Forward foreign currency contracts are agreements
between two parties ("Counterparties") to exchange one currency for another at a
future date and at a specified price. Each Fund uses forward foreign currency
contracts to facilitate transactions in foreign securities and to manage the
Fund's foreign currency exposure. These contracts are valued daily, and a Fund's
net equity therein, representing unrealized gain or loss on the contracts as
measured by the difference between the forward foreign exchange rates at the
dates of entry into the contracts and the forward rates at the reporting date,
is included in "Unrealized appreciation (depreciation) on forward foreign

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FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

currency contracts" on the Statements of Assets and Liabilities. The change in
unrealized appreciation/(depreciation) is included in "Net change in unrealized
appreciation (depreciation) on forward foreign currency contracts" on the
Statements of Operations. When the forward contract is closed, a Fund records a
realized gain or loss equal to the difference between the proceeds from (or the
cost of) the closing transaction and the Fund's basis in the contract. This
realized gain or loss is included in "Net realized gain (loss) on forward
foreign currency contracts" on the Statements of Operations. Risks arise from
the possible inability of Counterparties to meet the terms of their contracts
and from movement in currency and securities values and interest rates. Due to
the risks, a Fund could incur losses in excess of the net unrealized value shown
on the forward foreign currency contracts table in the Fund's Portfolio of
Investments. In the event of default by the Counterparty, a Fund will provide
notice to the Counterparty of the Fund's intent to convert the currency held by
the Fund into the currency that the Counterparty agreed to exchange with the
Fund. If a Counterparty becomes bankrupt or otherwise fails to perform its
obligations due to financial difficulties, a Fund may experience significant
delays in obtaining any recovery in a bankruptcy or other reorganization
proceeding. The Fund may obtain only limited recovery or may obtain no recovery
in such circumstances.

F. SWAP AGREEMENTS

Each Fund may enter into swap agreements. A swap is a financial instrument that
typically involves the exchange of cash flows between two parties on specified
dates (settlement dates), where the cash flows are based on agreed upon prices,
rates, etc. Payment received or made by the Fund for interest rate swaps, if
any, are recorded on the Statements of Operations as "Net realized gain (loss)
on swap contracts." When an interest rate swap is terminated, the Fund will
record a realized gain or loss equal to the difference between the proceeds from
(or cost of) the closing transaction and the Fund's basis in the contract, if
any. Generally, the basis of the contracts, if any, is the premium received or
paid. Swap agreements are individually negotiated and involve the risk of the
potential inability of the Counterparties to meet the terms of the agreement. In
connection with these agreements, cash and securities may be identified as
collateral in accordance with the terms of the respective swap agreements to
provide assets of value and recourse in the event of default under the swap
agreement or bankruptcy/insolvency of a party to the swap agreement. In the
event of a default by a Counterparty, the Fund will seek withdrawal of the
collateral and may incur certain costs exercising its rights with respect to the
collateral. If a Counterparty becomes bankrupt or otherwise fails to perform its
obligations due to financial difficulties, the Fund may experience significant
delays in obtaining any recovery in a bankruptcy or other reorganization
proceeding. The Fund may obtain only limited recovery or may obtain no recovery
in such circumstances.

Swap agreements may increase or decrease the overall volatility of the
investments of the Fund. The performance of swap agreements may be affected by
changes in the specific interest rate, security, currency, or other factors that
determine the amounts of payments due to and from the Fund. The Fund's maximum
interest rate risk to meet its future payments under swap agreements is equal to
the total notional amount as shown on the Portfolio of Investments. The notional
amount represents the U.S. dollar value of the contract as of the day of the
opening transaction or contract reset. When the Fund enters into a swap
agreement, any premium paid is included in "Swap contracts, at value" on the
Statements of Assets and Liabilities.

FIXD and UCON held interest rate swap agreements at August 31, 2022. An interest
rate swap agreement involves the Fund's agreement to exchange a stream of
interest payments for another party's stream of cash flows. Interest rate swaps
do not involve the delivery of securities or other underlying assets or
principal. Accordingly, the risk of loss with respect to interest rate swaps is
limited to the net amount of interest payments that the Fund is contractually
obligated to make.

G. OPTIONS AND SWAPTIONS

FIXD may invest in option contracts to adjust its exposure to interest rate
risk. The primary risk associated with purchasing options is that the value of
the underlying investments may move in such a way that the option is
out-of-the-money (the exercise price of the option exceeds the value of the
underlying investment), the position is worthless at expiration, and the Fund
loses the premium paid. The primary risk associated with selling options is that
the value of the underlying investments may move in such a way that the option
is in-the money (the exercise price of the option exceeds the value of the
underlying investment), the counterparty exercises the option, and the Fund
loses an amount equal to the market value of the option written less the premium
received.

FIXD and UCON invest in options on swaps (swaptions), which are transacted
over-the-counter ("OTC") and not on an exchange. The purchaser and writer of a
swaption is buying or granting the right to enter into a previously agreed upon
interest rate or credit default swap agreement (interest rate risk and/or credit
risk) at any time before the expiration of the option. Unlike exchange-traded
options, which are standardized with respect to the underlying instrument,
expiration date, contract size, and strike price, the terms of OTC options
generally are established through negotiation with the other party to the option
contract. Although this type of arrangement allows the purchaser or writer
greater flexibility to tailor an option to its needs, OTC options have the risk
of the potential inability of counterparties to meet the terms of their
contracts. Each Fund's maximum equity price risk for purchased options is
limited to the premium initially paid.

Page 113

FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

FIXD may purchase or write (sell) put and call options on futures contracts and
enter into closing transactions with respect to such options to terminate an
existing position. A futures option gives the holder the right, in return for
the premium paid, to assume a long position (call) or short position (put) in a
futures contract at a specified exercise price prior to the expiration of the
option. Upon exercise of a call option, the holder acquires a long position in
the futures contract and the writer is assigned the opposite short position. In
the case of a put option, the opposite is true. Prior to exercise or expiration,
a futures contract may be closed out by an offsetting purchase or sale of a
futures option of the same series. Options are marked-to-market daily and their
value is affected by changes in the value of the underlying security, changes in
interest rates, changes in the actual or perceived volatility of the securities
markets and the underlying securities, and the remaining time to the option's
expiration. The value of options may also be adversely affected if the market
for the options becomes less liquid or the trading volume diminishes.

When a Fund purchases a call or put option, the premium paid represents the cost
of the call or put option, which is included in "Options contracts purchased, at
value" on the Statements of Assets and Liabilities. When a Fund writes (sells)
an option, an amount equal to the premium received by the Fund is included in
"Options contracts written, at value" on the Statements of Assets and
Liabilities. Options are marked-to-market daily and their value will be affected
by changes in the value and dividend rates of the underlying equity securities,
changes in interest rates, changes in the actual or perceived volatility of the
securities markets and the underlying equity securities and the remaining time
to the options' expiration. The value of options may also be adversely affected
if the market for the options becomes less liquid or trading volume diminishes

When a Fund purchases a call or put swaption, the premium paid represents the
cost of the call or put swaption, which is included in "Swaptions contracts
purchased, at value" on the Statements of Assets and Liabilities and is
subsequently adjusted daily to the current market value of the option purchased.
Fluctuations in the value of the swaptions are recorded in the Statements of
Operations as unrealized appreciation (depreciation) until expired, closed, or
exercised, at which time realized gains (losses) are recognized. If a Fund
elects to allow a put swaption to expire, then the interest rate risk for
purchased swaptions is limited to the premium initially paid. Any gain or loss
on swaptions is included in "Purchased/Written swaptions contracts" on the
Statements of Operations.

H. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES

Offsetting Assets and Liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.

For financial reporting purposes, the Funds do not offset financial assets and
financial liabilities that are subject to master netting arrangements ("MNAs")
or similar agreements on the Statements of Assets and Liabilities. MNAs provide
the right, in the event of default (including bankruptcy and insolvency) for the
non-defaulting Counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.

The Funds do not have the right to offset financial assets and financial
liabilities related to options and swaptions contracts, forward foreign currency
contracts, futures contracts or swap contracts on the Statements of Assets and
Liabilities.

I. FOREIGN CURRENCY

The books and records of the Funds are maintained in U.S. dollars. Foreign
currencies, investments and other assets and liabilities are translated into
U.S. dollars at the exchange rates prevailing at the end of the period.
Purchases and sales of investments and items of income and expense are
translated on the respective dates of such transactions. Unrealized gains and
losses on assets and liabilities, other than investments in securities, which
result from changes in foreign currency exchange rates have been included in
"Net change in unrealized appreciation (depreciation) on foreign currency
translation" on the Statements of Operations. Unrealized gains and losses on
investments in securities which result from changes in foreign exchange rates
are included with fluctuations arising from changes in market price and are
shown in "Net change in unrealized appreciation (depreciation) on investments"
on the Statements of Operations. Net realized foreign currency gains and losses
include the effect of changes in exchange rates between trade date and
settlement date on investment security transactions, foreign currency
transactions and interest and dividends received and are included in "Net
realized gain (loss) on foreign currency transactions" on the Statements of
Operations. The portion of foreign currency gains and losses related to
fluctuation in exchange rates between the initial purchase settlement date and
subsequent sale trade date for fixed-income securities is included in "Net
realized gain (loss) on investments" on the Statements of Operations.

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FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

J. INTEREST-ONLY SECURITIES

An interest-only security ("IO Security") is the interest-only portion of a
mortgage-backed security that receives some or all of the interest portion of
the underlying mortgage-backed security and little or no principal. A reference
principal value called a notional value is used to calculate the amount of
interest due to the IO Security. IO Securities are sold at a deep discount to
their notional principal amount. Generally speaking, when interest rates are
falling and prepayment rates are increasing, the value of an IO Security will
fall. Conversely, when interest rates are rising and prepayment rates are
decreasing, generally the value of an IO Security will rise. These securities,
if any, are identified on each Fund's Portfolio of Investments.

K. MORTGAGE DOLLAR ROLLS

Each Fund may invest, without limitation, in mortgage dollar rolls. The Funds
intend to enter into mortgage dollar rolls only with high quality securities
dealers and banks, as determined by the Funds' Sub-Advisor. In a mortgage dollar
roll, a Fund will sell (or buy) mortgage-backed securities for delivery on a
specified date and simultaneously contract to repurchase (or sell) substantially
similar (same type, coupon and maturity) securities on a future date. Mortgage
dollar rolls are recorded as separate purchases and sales in a Fund.

L. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS

Dividends from net investment income of each Fund, if any, are declared and paid
monthly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.

Distributions in cash may be reinvested automatically in additional whole shares
only if the broker through whom the shares were purchased makes such option
available. Such shares will generally be reinvested by the broker based upon the
market price of those shares and investors may be subject to customary brokerage
commissions charged by the broker.

Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Funds and
have no impact on net assets or NAV per share. Temporary differences, which
arise from recognizing certain items of income, expense and gain/loss in
different periods for financial statement and tax purposes, will reverse at some
time in the future.

The tax character of distributions paid by each Fund during the fiscal year
ended August 31, 2022 was as follows:

Distributions Distributions Distributions
paid from paid from paid from
Ordinary Capital Return of
Income Gains Capital
------------- ------------- -------------

First Trust TCW Opportunistic Fixed Income ETF $ 88,246,752 $ -- $ --
First Trust TCW Unconstrained Plus Bond ETF 21,039,193 209,148 --
First Trust TCW Securitized Plus ETF 4,631,176 -- --
First Trust TCW Emerging Markets Debt ETF 549,502 -- --

The tax character of distributions paid by each Fund during the fiscal period
ended August 31, 2021 was as follows:

Distributions Distributions Distributions
paid from paid from paid from
Ordinary Capital Return of
Income Gains Capital
------------- ------------- -------------

First Trust TCW Opportunistic Fixed Income ETF $ 122,548,756 7,363,614 $ 3,126,328
First Trust TCW Unconstrained Plus Bond ETF 7,774,045 537,281 --
First Trust TCW Securitized Plus ETF 1,573,671 29,696 --
First Trust TCW Emerging Markets Debt ETF 427,501 -- --

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FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

As of August 31, 2022, the components of distributable earnings on a tax basis
for each Fund were as follows:

Accumulated Net
Undistributed Capital and Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------- ------------- -------------

First Trust TCW Opportunistic Fixed Income ETF $ 5,406,242 $(355,844,752) $(360,878,704)
First Trust TCW Unconstrained Plus Bond ETF 2,551,383 (3,077,263) (77,747,727)
First Trust TCW Securitized Plus ETF 136,775 (20,439,629) (11,183,491)
First Trust TCW Emerging Markets Debt ETF (17,233) (1,952,666) (1,087,343)

M. INCOME TAXES

Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.

The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. For FIXD and UCON, the taxable
years ended 2019, 2020, 2021, and 2022 remain open to federal and state audit.
For DEED, the taxable years ended 2020, 2021, and 2022 remain open to federal
and state audit. For EFIX, the taxable years ended 2021 and 2022 remain open to
federal and state audit. As of August 31, 2022, management has evaluated the
application of these standards to the Funds and has determined that no provision
for income tax is required in the Funds' financial statements for uncertain tax
positions.

Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At August 31, 2022, for
federal income tax purposes, each applicable Fund had a capital loss
carryforward available that is shown in the table below, to the extent provided
by regulations, to offset future capital gains. To the extent that these loss
carryforwards are used to offset future capital gains, it is probable that the
capital gains so offset will not be distributed to each applicable Fund's
shareholders.

Non-Expiring
Capital Loss
Carryforward
-----------------

First Trust TCW Opportunistic Fixed Income ETF $ 355,844,752
First Trust TCW Unconstrained Plus Bond ETF 3,077,263
First Trust TCW Securitized Plus ETF 20,439,629
First Trust TCW Emerging Markets Debt ETF 1,952,666

Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended August 31, 2022, the Funds listed
below incurred and elected to defer net late year ordinary or capital losses as
follows:

Qualified Late Year Losses
---------------------------------
Ordinary Losses Capital Losses
--------------- ---------------

First Trust TCW Opportunistic Fixed Income ETF $ -- $ --
First Trust TCW Unconstrained Plus Bond ETF -- --
First Trust TCW Securitized Plus ETF -- --
First Trust TCW Emerging Markets Debt ETF 17,233 --

In order to present paid-in capital and accumulated distributable earnings
(loss) (which consists of accumulated net investment income (loss), accumulated
net realized gain (loss) on investments and net unrealized appreciation
(depreciation) on investments) on the Statements of Assets and Liabilities that
more closely represent their tax character, certain adjustments have been made
to paid-in capital, accumulated net investment income (loss) and accumulated net
realized gain (loss) on investments. These adjustments are primarily due to the

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FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

difference between book and tax treatments of income and gains on various
investment securities held by the Funds. The results of operations and net
assets were not affected by these adjustments. For the fiscal year ended August
31, 2022, the adjustments for each Fund were as follows:

Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
-------------- -------------- -------------

First Trust TCW Opportunistic Fixed Income ETF $ 17,850,326 $ (17,850,326) $ --
First Trust TCW Unconstrained Plus Bond ETF 3,205,075 (3,205,075) --
First Trust TCW Securitized Plus ETF 622,543 (622,543) --
First Trust TCW Emerging Markets Debt ETF 10,983 (10,983) --

As of August 31, 2022, the aggregate cost, gross unrealized appreciation, gross
unrealized depreciation, and net unrealized appreciation/(depreciation) on
investments (including short positions and derivatives, if any) for federal
income tax purposes were as follows:

Net
Gross Gross Unrealized
Unrealized Unrealized Appreciation
Tax Cost Appreciation (Depreciation) (Depreciation)
---------------- ---------------- ---------------- ----------------

First Trust TCW Opportunistic Fixed Income ETF $ 4,523,358,096 $ 8,861,770 $ (369,739,008) $ (360,877,238)
First Trust TCW Unconstrained Plus Bond ETF 1,509,099,124 7,564,213 (85,310,946) (77,746,733)
First Trust TCW Securitized Plus ETF 285,630,015 403,657 (11,586,351) (11,182,694)
First Trust TCW Emerging Markets Debt ETF 8,782,238 11,318 (1,098,661) (1,087,343)

N. EXPENSES

Expenses, other than the investment advisory fee and other excluded expenses,
are paid by the Advisor (see Note 3).

3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS

First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the ongoing monitoring of the securities in each Fund's
portfolio, managing the Funds' business affairs and providing certain
administrative services necessary for the management of the Funds.

TCW serves as the Funds' sub-advisor and manages each Fund's portfolio subject
to First Trust's supervision. Pursuant to the Investment Management Agreement,
between the Trust, on behalf of the Funds, and the Advisor, and the Investment
Sub-Advisory Agreement among the Trust, on behalf of the Funds, the Advisor and
TCW, First Trust will supervise TCW and its management of the investment of each
Fund's assets and will pay TCW for its services as the Funds' sub-advisor. TCW
receives a sub-advisory fee equal to 50% of any remaining monthly unitary
management fee paid to the Advisor after the average Fund's expenses accrued
during the most recent twelve months are subtracted from the unitary management
fee for that month. First Trust will also be responsible for each Fund's
expenses, including the cost of transfer agency, sub-advisory, custody, fund
administration, legal, audit and other services, but excluding fee payments
under the Investment Management Agreement, interest, taxes, acquired fund fees
and expenses, if any, brokerage commissions and other expenses connected with
the execution of portfolio transactions, distribution and service fees payable
pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. FIXD, UCON,
DEED, and EFIX have each agreed to pay First Trust an annual unitary management
fee equal to 0.65%, 0.85%, 0.75%, and 0.95%, respectively, of its average daily
net assets. Pursuant to a contractual agreement, First Trust has agreed to waive
management fees of 0.10% of average daily net assets until December 31, 2022 for
FIXD, UCON and DEED and February 10, 2023 for EFIX. The waiver agreement may be
terminated by action of the Trust's Board of Trustees at any time upon 60 days'
written notice by the Trust on behalf of each Fund or by the Funds' investment
advisor only after December 31, 2022 for FIXD, UCON and DEED and February 10,
2023 for EFIX. During the fiscal year ended August 31, 2022, the Advisor waived
fees of $4,637,040, $991,848, $241,906, and $12,896, for FIXD, UCON, DEED, and
EFIX, respectively.

The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.

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FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or an index fund.

Additionally, the Lead Independent Trustee and the Chairs of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee Chairs
rotate every three years. The officers and "Interested" Trustee receive no
compensation from the Trust for acting in such capacities.

4. PURCHASES AND SALES OF SECURITIES

For the fiscal year ended August 31, 2022, the cost of purchases and proceeds
from sales and paydowns of U.S. Government securities and non-U.S. Government
securities for each Fund, excluding short-term investments and in-kind
transactions, were as follows:

Purchases Sales
--------------- ---------------

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF
U.S. Government securities $22,178,915,310 $23,289,270,395
Non-U.S. Government securities 1,325,852,526 1,192,879,972

FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF
U.S. Government securities 1,619,400,203 1,495,480,485
Non-U.S. Government securities 955,786,955 285,785,017

FIRST TRUST TCW SECURITIZED PLUS ETF
U.S. Government securities 1,991,875,227 1,986,506,895
Non-U.S. Government securities 77,038,740 65,729,122

FIRST TRUST TCW EMERGING MARKETS DEBT ETF
U.S. Government securities -- --
Non-U.S. Government securities 15,869,999 24,250,406

For the fiscal year ended August 31, 2022, the Funds had no in-kind
transactions.

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FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

5. DERIVATIVE TRANSACTIONS

The following table presents the types of derivatives held by each Fund at
August 31, 2022, the primary underlying risk exposure and the location of these
instruments as presented on the Statements of Assets and Liabilities.

ASSET DERIVATIVES LIABILITY DERIVATIVES
---------------------------------------- ----------------------------------------
DERIVATIVES STATEMENTS OF ASSETS AND STATEMENTS OF ASSETS AND
INSTRUMENT RISK EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE
------------------ ------------------ -------------------------- ----------- -------------------------- -----------

FIXD
Options contracts Options contracts
Options contracts Interest Rate Risk purchased, at value $ 12,819 written, at value $ 19,906

Unrealized appreciation Unrealized depreciation
Forward foreign on forward foreign on forward foreign
currency contracts Currency Risk currency contracts 262,630 currency contracts --

Unrealized appreciation Unrealized depreciation
Futures contracts Interest Rate Risk on futures contracts* 789,558 on futures contracts* 1,273,232

Swap contracts Interest Rate Risk Swap contracts, at value 7,362,896 Swap contracts, at value 24,639,372

UCON
Unrealized appreciation Unrealized depreciation
Forward foreign on forward foreign on forward foreign
currency contracts Currency Risk currency contracts 133,993 currency contracts --

Unrealized appreciation Unrealized depreciation
Futures contracts Interest Rate Risk on futures contracts* 1,426,865 on futures contracts* 588,467

Swap contracts Interest Rate Risk Swap contracts, at value 865,964 Swap contracts, at value 3,592,734

DEED
Unrealized appreciation Unrealized depreciation
Forward foreign on forward foreign on forward foreign
currency contracts Currency Risk currency contracts 161,686 currency contracts 9,373

Unrealized appreciation Unrealized depreciation
Futures contracts Interest Rate Risk on futures contracts* 4,427 on futures contracts* 138,715

* Includes cumulative appreciation/depreciation on futures contracts as
reported in each Fund's Portfolio of Investments. Only the current day's
variation margin is presented on the Statements of Assets and Liabilities.

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FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

The following table presents the amount of net realized gain (loss) and change
in net unrealized appreciation (depreciation) recognized for the fiscal year
ended August 31, 2022, on each Fund's derivative instruments, as well as the
primary underlying risk exposure associated with the instruments.

STATEMENTS OF OPERATIONS LOCATION FIXD UCON DEED
-------------------------------------------------------------------------------------------------------------

CURRENCY RISK EXPOSURE
Net realized gain (loss) on forward foreign currency contracts $ 3,093,466 $ 237,168 $ 386,587
Net change in unrealized appreciation (depreciation) on forward
foreign currency contracts 262,630 133,993 151,299

INTEREST RATE RISK EXPOSURE
Net realized gain (loss) on:
Purchased swaptions contracts 731,036 -- --
Purchased options contracts 1,943,723 -- --
Written swaptions contracts 719,597 157,853 --
Written options contracts (15,952,507) -- --
Futures contracts 1,164,316 18,843,815 (1,374,033)
Swap contracts (29,429) 151,921 --
Net change in unrealized appreciation (depreciation) on:
Purchased swaptions contracts 44,321 -- --
Purchased options contracts (1,234,771) -- --
Written options contracts 1,011,380 -- --
Futures contracts (490,310) 865,345 (129,613)
Swap contracts (16,971,575) (2,694,881) --

FIXD
During the fiscal year ended August 31, 2022, the premiums for purchased
swaptions contracts opened were $0 and the premiums for purchased swaptions
contracts closed, exercised and expired were $571,710.

During the fiscal year ended August 31, 2022, the premiums for purchased options
contracts opened were $4,215,058 and the premiums for purchased options
contracts closed, exercised and expired were $4,493,030.

During the fiscal year ended August 31, 2022, the premiums for written swaptions
contracts opened were $719,597 and the premiums for purchased swaptions
contracts closed, exercised and expired were $719,597.

During the fiscal year ended August 31, 2022, the premiums for written options
contracts opened were $14,532,229 and the premiums for written options contracts
closed, exercised and expired were $14,372,693.

During the fiscal year ended August 31, 2022, the notional value of forward
foreign currency contracts opened and closed were $535,195,265 and $525,393,981,
respectively.

During the fiscal year ended August 31, 2022, the notional value of futures
contracts opened and closed were $1,965,978,217 and $1,207,387,912,
respectively.

For the fiscal year ended August 31, 2022, the average volume of interest rate
swaps was $596,517,945.

UCON
During the fiscal year ended August 31, 2022, the premiums for written swaptions
contracts opened were $157,853 and the premiums for purchased swaptions
contracts closed, exercised and expired were $157,853.

During the fiscal year ended August 31, 2022, the notional value of forward
foreign currency contracts opened and closed were $27,354,665 and $23,797,873,
respectively.

During the fiscal year ended August 31, 2022, the notional value of futures
contracts opened and closed were $1,683,055,884 and $1,384,246,625,
respectively.

For the fiscal year ended August 31, 2022, the average volume of interest rate
swaps was $90,295,534.

DEED
During the fiscal year ended August 31, 2022, the notional value of forward
foreign currency contracts opened and closed were $31,842,594 and $29,103,105,
respectively.

During the fiscal year ended August 31, 2022, the notional value of futures
contracts opened and closed were $196,497,780 and $157,366,791, respectively.

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FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022

6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES

Each Fund generally issues and redeems its shares in primary market transactions
through a creation and redemption mechanism and does not sell or redeem
individual shares. Instead, financial entities known as "Authorized
Participants" have contractual arrangements with a Fund or one of the Fund's
service providers to purchase and redeem Fund shares directly with the Fund in
large blocks of shares known as "Creation Units." Prior to the start of trading
on every business day, a Fund publishes through the National Securities Clearing
Corporation ("NSCC") the "basket" of securities, cash or other assets that it
will accept in exchange for a Creation Unit of the Fund's shares. An Authorized
Participant that wishes to effectuate a creation of a Fund's shares deposits
with the Fund the "basket" of securities, cash or other assets identified by the
Fund that day, and then receives the Creation Unit of the Fund's shares in
return for those assets. After purchasing a Creation Unit, the Authorized
Participant may continue to hold the Fund's shares or sell them in the secondary
market. The redemption process is the reverse of the purchase process: the
Authorized Participant redeems a Creation Unit of a Fund's shares for a basket
of securities, cash or other assets. The combination of the creation and
redemption process with secondary market trading in a Fund's shares and
underlying securities provides arbitrage opportunities that are designed to help
keep the market price of a Fund's shares at or close to the NAV per share of the
Fund.

Each Fund imposes fees in connection with the purchase of Creation Units. These
fees may vary based upon various fact-based circumstances, including, but not
limited to, the composition of the securities included in the Creation Unit or
the countries in which the transactions are settled. The price for each Creation
Unit will equal the daily NAV per share of a Fund times the number of shares in
a Creation Unit, plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees, in a Creation Unit,
plus the fees described above and, if applicable, any operational processing and
brokerage costs, transfer fees, stamp taxes and part or all of the spread
between the expected bid and offer side of the market related to the securities
comprising the creation basket.

Each Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various fact-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of a Fund times the number
of shares in a Creation Unit, minus the fees described above and, if applicable,
any operational processing and brokerage costs, transfer fees, stamp taxes and
part or all of the spread between the expected bid and offer side of the market
related to the securities comprising the redemption basket. Investors who use
the services of a broker or other such intermediary in addition to an Authorized
Participant to effect a redemption of a Creation Unit may also be assessed an
amount to cover the cost of such services. The redemption fee charged by a Fund
will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no
more than 2% of the value of the shares redeemed.

7. DISTRIBUTION PLAN

The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.

No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before December 31, 2023.

8. INDEMNIFICATION

The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.

9. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements that have not already been disclosed.

Page 121

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------

TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED FUND
VIII:

OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS

We have audited the accompanying statements of assets and liabilities of First
Trust TCW Opportunistic Fixed Income ETF, First Trust TCW Unconstrained Plus
Bond ETF, First Trust TCW Securitized Plus ETF, and First Trust TCW Emerging
Markets Debt ETF, each a series of the First Trust Exchange-Traded Fund VIII,
including the portfolios of investments, as of August 31, 2022, the related
statements of operations for the year then ended, the changes in net assets and
the financial highlights for the periods indicated in the table below, and the
related notes. In our opinion, the financial statements and financial highlights
present fairly, in all material respects, the financial position of the Funds as
of August 31, 2022, the results of their operations for the year then ended, and
the changes in their net assets and the financial highlights for the periods
listed in the table below, in conformity with accounting principles generally
accepted in the United States of America.

-------------------------------------------------------------------------------------------------------------------------
INDIVIDUAL FUNDS INCLUDED STATEMENTS OF CHANGES
IN THE TRUST IN NET ASSETS FINANCIAL HIGHLIGHTS
-------------------------------------------------------------------------------------------------------------------------

First Trust TCW Opportunistic For the years ended For the years ended August 31, 2022, 2021, 2020, 2019,
Fixed Income ETF August 31, 2022 and 2021 and 2018
-------------------------------------------------------------------------------------------------------------------------
First Trust TCW Unconstrained For the years ended For the years ended August 31, 2022, 2021, 2020, 2019
Plus Bond ETF August 31, 2022 and 2021 and the period from June 4, 2018 (commencement of
operations) through August 31, 2018
-------------------------------------------------------------------------------------------------------------------------
First Trust TCW Securitized Plus For the years ended For the years ended August 31, 2022, 2021 and for the
ETF August 31, 2022 and 2021 period from April 29, 2020 (commencement of operations)
through August 31, 2020
-------------------------------------------------------------------------------------------------------------------------
First Trust TCW Emerging For year ended August 31, 2022 and for the period from February 17, 2021 (commencement
Markets Debt ETF of operations) through August 31, 2021
-------------------------------------------------------------------------------------------------------------------------

BASIS FOR OPINION

These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on the Funds'
financial statements and financial highlights based on our audits. We are a
public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to
the Funds in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement, whether due to error or fraud. The Funds are not
required to have, nor were we engaged to perform, an audit of their internal
control over financial reporting. As part of our audits, we are required to
obtain an understanding of internal control over financial reporting but not for
the purpose of expressing an opinion on the effectiveness of the Funds' internal
control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due
to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts
and disclosures in the financial statements and financial highlights. Our audits
also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of August 31, 2022, by correspondence with
the custodian, agent banks, and brokers; when replies were not received from
brokers or agent banks, we performed other auditing procedures. We believe that
our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Chicago, Illinois
October 26, 2022

We have served as the auditor of one or more First Trust investment companies
since 2001.

Page 122

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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------

FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022 (UNAUDITED)

PROXY VOTING POLICIES AND PROCEDURES

A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.

PORTFOLIO HOLDINGS

Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.

FEDERAL TAX INFORMATION

Distributions paid to foreign shareholders for the taxable year ended August 31,
2022 that were properly designated by each Fund as "interest-related dividends"
or "short-term capital gain dividends," may not be subject to federal income tax
provided that the income was earned directly by such foreign shareholders.

Of the ordinary income (including short-term capital gain) distribution made by
each Fund during the fiscal year ended August 31, 2022, none qualify for the
corporate dividends received deduction available to corporate shareholders or as
qualified dividend income.

Long-term capital gain distributions designated by the Funds are taxable at the
applicable capital gain tax rates for federal income tax purposes. For the
fiscal year ended August 31, 2022, the below Fund designated long-term capital
gain distributions in the following amount.

Long-Term Capital
Gain Distributions
---------------------
First Trust TCW Unconstrained Plus Bond ETF $ 209,148

RISK CONSIDERATIONS

RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.

CONCENTRATION RISK. To the extent that a fund is able to invest a significant
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
more broadly diversified.

CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.

CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.

Page 123

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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022 (UNAUDITED)

DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is
designed to deliver returns tied to the price performance of an underlying ETF,
an investor may not realize the returns the fund seeks to achieve if that
investor does not hold shares for the entire target outcome period. In the event
an investor purchases shares after the first day of the target outcome period or
sells shares prior to the end of the target outcome period, the buffer that the
fund seeks to provide against a decline in the value of the underlying ETF may
not be available, the enhanced returns that the fund seeks to provide (if any)
may not be available and the investor may not participate in a gain in the value
of the underlying ETF up to the cap for the investor's investment period.
Additionally, the fund will not participate in gains of the underlying ETF above
the cap and a shareholder may lose their entire investment. If the fund seeks
enhanced returns, there are certain time periods when the value of the fund may
fall faster than the value of the underlying ETF, and it is very unlikely that,
on any given day during which the underlying ETF share price increases in value,
the fund's share price will increase at the same rate as the enhanced returns
sought by the fund, which is designed for an entire target outcome period.
Trading flexible exchange options involves risks different from, or possibly
greater than, the risks associated with investing directly in securities, such
as less liquidity and correlation and valuation risks. A fund may experience
substantial downside from specific flexible exchange option positions and
certain positions may expire worthless.

DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.

EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.

ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.

FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.

INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or
more indices or ETF models. As a result, such a fund may be included in one or
more index-tracking exchange-traded funds or mutual funds. Being a component
security of such a vehicle could greatly affect the trading activity involving a
fund, the size of the fund and the market volatility of the fund. Inclusion in
an index could increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods. In addition, index rebalances may potentially result in increased
trading activity in a fund's shares.

INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not

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provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.

INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.

LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR, has ceased making LIBOR available as a
reference rate over a phase-out period that began December 31, 2021. There is no
assurance that any alternative reference rate, including the Secured Overnight
Financing Rate ("SOFR") will be similar to or produce the same value or economic
equivalence as LIBOR or that instruments using an alternative rate will have the
same volume or liquidity. The unavailability or replacement of LIBOR may affect
the value, liquidity or return on certain fund investments and may result in
costs incurred in connection with closing out positions and entering into new
trades. Any potential effects of the transition away from LIBOR on the fund or
on certain instruments in which the fund invests can be difficult to ascertain,
and they may vary depending on a variety of factors, and they could result in
losses to the fund.

MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.

MARKET RISK. Market risk is the risk that a particular security, or shares of a
fund in general, may fall in value. Securities held by a fund, as well as shares
of a fund itself, are subject to market fluctuations caused by factors such as
general economic conditions, political events, regulatory or market
developments, changes in interest rates and perceived trends in securities
prices. Shares of a fund could decline in value or underperform other
investments as a result of the risk of loss associated with these market
fluctuations. In addition, local, regional or global events such as war, acts of
terrorism, spread of infectious diseases or other public health issues,
recessions, or other events could have a significant negative impact on a fund
and its investments. Such events may affect certain geographic regions,
countries, sectors and industries more significantly than others. In February
2022, Russia invaded Ukraine which has caused and could continue to cause
significant market disruptions and volatility within the markets in Russia,
Europe, and the United States. The hostilities and sanctions resulting from
those hostilities could have a significant impact on certain fund investments as
well as fund performance. The COVID-19 global pandemic and the ensuing policies
enacted by governments and central banks have caused and may continue to cause
significant volatility and uncertainty in global financial markets. While the
U.S. has resumed "reasonably" normal business activity, many countries continue
to impose lockdown measures. Additionally, there is no guarantee that vaccines
will be effective against emerging variants of the disease. These events also
adversely affect the prices and liquidity of a fund's portfolio securities or
other instruments and could result in disruptions in the trading markets. Any of
such circumstances could have a materially negative impact on the value of a
fund's shares and result in increased market volatility. During any such events,
a fund's shares may trade at increased premiums or discounts to their net asset
value and the bid/ask spread on a fund's shares may widen.

NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities;
capital controls; lack of liquidity; currency exchange rates; excessive
taxation; government seizure of assets; the imposition of sanctions by foreign
governments; different legal or accounting standards; and less government
supervision and regulation of exchanges in foreign countries. Investments in
non-U.S. securities may involve higher costs than investments in U.S.
securities, including higher transaction and custody costs, as well as
additional taxes imposed by non-U.S. governments. These risks may be heightened
for securities of companies located, or with significant operations, in emerging
market countries.

OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Each fund relies on third-parties for a range of services, including
custody. Any delay or failure relating to engaging or maintaining such service
providers may affect a fund's ability to meet its investment objective. Although
the funds and the funds' investment advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.

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PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.

VALUATION RISK. The valuation of municipal bonds or securitized assets may carry
more risk than that of common stock. Uncertainties in the conditions of the
financial markets, unreliable reference data, lack of transparency and
inconsistency of valuation models and processes may lead to inaccurate asset
pricing. A fund may hold investments in sizes smaller than institutionally-sized
round lot positions (sometimes referred to as odd lots). However, third-party
pricing services generally provide evaluations on the basis of
institutionally-sized round lots. If a fund sells certain of its investments in
an odd lot transaction, the sale price may be less than the value at which such
securities have been held by a fund. Odd lots often trade at lower prices than
institutional round lots. There is no assurance that a fund will be able to sell
a portfolio security at the price established by the pricing service, which
could result in a loss to a fund.

NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE

REMUNERATION

First Trust Advisors L.P. ("First Trust") is authorised and regulated by the
U.S. Securities and Exchange Commission and is entitled to market shares of
certain First Trust Exchange-Traded Fund VIII funds it manages (the "Funds") in
certain member states in the European Economic Area in accordance with the
cooperation arrangements in Article 42 of the Alternative Investment Fund
Managers Directive (the "Directive"). First Trust is required under the
Directive to make disclosures in respect of remuneration. The following
disclosures are made in line with First Trust's interpretation of currently
available regulatory guidance on remuneration disclosures.

During the year ended December 31, 2021, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $3,051,995.
This figure is comprised of $117,443 paid (or to be paid) in fixed compensation
and $2,934,552 paid (or to be paid) in variable compensation. There were a total
of 24 beneficiaries of the remuneration described above. Those amounts include
$1,567,304 paid (or to be paid) to senior management of First Trust Advisors
L.P. and $1,484,691 paid (or to be paid) to other employees whose professional
activities have a material impact on the risk profiles of First Trust Advisors
L.P. or the Funds (collectively, "Code Staff").

Code Staff included in the aggregated figures disclosed above are rewarded in
line with First Trust's remuneration policy (the "Remuneration Policy") which is
determined and implemented by First Trust's senior management. The Remuneration
Policy reflects First Trust's ethos of good governance and encapsulates the
following principal objectives:

i. to provide a clear link between remuneration and performance of
First Trust and to avoid rewarding for failure;

ii. to promote sound and effective risk management consistent with the
risk profiles of the funds managed by First Trust; and

iii. to remunerate staff in line with the business strategy, objectives,
values and interests of First Trust and the funds managed by First
Trust in a manner that avoids conflicts of interest.

First Trust assesses various risk factors which it is exposed to when
considering and implementing remuneration for Code Staff and considers whether
any potential award to such person(s) would give rise to a conflict of interest.
First Trust does not reward failure, or consider the taking of risk or failure
to take risk in its remuneration of Code Staff.

First Trust assesses performance for the purposes of determining payments in
respect of performance-related remuneration of Code Staff by reference to a
broad range of measures including (i) individual performance (using financial
and non-financial criteria), and (ii) the overall performance of First Trust.
Remuneration is not based upon the performance of the Funds.

The elements of remuneration are balanced between fixed and variable and the
senior management sets fixed salaries at a level sufficient to ensure that
variable remuneration incentivises and rewards strong individual performance but
does not encourage excessive risk taking.

No individual is involved in setting his or her own remuneration.

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FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022 (UNAUDITED)

ADVISORY AND SUB-ADVISORY AGREEMENTS

BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT
AND SUB-ADVISORY AGREEMENTS

FIRST TRUST TCW OPPORTUNISTIC FIXED INCOME ETF
FIRST TRUST TCW UNCONSTRAINED PLUS BOND ETF
FIRST TRUST TCW SECURITIZED PLUS ETF
FIRST TRUST TCW EMERGING MARKETS DEBT ETF

The Board of Trustees of First Trust Exchange-Traded Fund VIII (the "Trust"),
including the Independent Trustees, unanimously approved the continuation of the
Investment Management Agreements (as applicable to a specific Fund, the
"Advisory Agreement" and collectively, the "Advisory Agreements") with First
Trust Advisors L.P. (the "Advisor") and the Investment Sub-Advisory Agreements
(as applicable to a specific Fund, the "Sub-Advisory Agreement" and
collectively, the "Sub-Advisory Agreements" and together with the Advisory
Agreements, the "Agreements") among the Trust, the Advisor and TCW Investment
Management Company LLC (the "Sub-Advisor") on behalf of the following four
series of the Trust (each a "Fund" and collectively, the "Funds"):

First Trust TCW Opportunistic Fixed Income ETF (FIXD)
First Trust TCW Unconstrained Plus Bond ETF (UCON)
First Trust TCW Securitized Plus ETF (DEED)
First Trust TCW Emerging Markets Debt ETF (EFIX)

The Board approved the continuation of the applicable Agreements for each Fund
for a one-year period ending June 30, 2023 at a meeting held on June 12-13,
2022. The Board determined for each Fund that the continuation of the applicable
Agreements is in the best interests of the Fund in light of the nature, extent
and quality of the services provided and such other matters as the Board
considered to be relevant in the exercise of its business judgment.

To reach this determination for each Fund, the Board considered its duties under
the Investment Company Act of 1940, as amended (the "1940 Act"), as well as
under the general principles of state law, in reviewing and approving advisory
contracts; the requirements of the 1940 Act in such matters; the fiduciary duty
of investment advisors with respect to advisory agreements and compensation; the
standards used by courts in determining whether investment company boards have
fulfilled their duties; and the factors to be considered by the Board in voting
on such agreements. At meetings held on April 18, 2022 and June 12-13, 2022, the
Board, including the Independent Trustees, reviewed materials provided by the
Advisor and the Sub-Advisor responding to requests for information from counsel
to the Independent Trustees, submitted on behalf of the Independent Trustees,
that, among other things, outlined: the services provided by the Advisor and the
Sub-Advisor to each Fund (including the relevant personnel responsible for these
services and their experience); the unitary fee rate payable by each Fund as
compared to fees charged to a peer group of funds (the "Expense Group") and a
broad peer universe of funds (the "Expense Universe"), each assembled by
Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and
as compared to fees charged to other clients of the Advisor, including other
exchange-traded funds ("ETFs") managed by the Advisor; the sub-advisory fee rate
as compared to fees charged to other clients of the Sub-Advisor; the expense
ratio of each Fund as compared to expense ratios of the funds in the Fund's
Expense Group and Expense Universe; performance information for each Fund,
including, for FIXD, UCON and DEED, comparisons of each Fund's performance to
that of one or more relevant benchmark indexes and to that of a performance
group of funds and a broad performance universe of funds (the "Performance
Universe"), each assembled by Broadridge; the nature of expenses incurred in
providing services to each Fund and the potential for the Advisor and the
Sub-Advisor to realize economies of scale, if any; profitability and other
financial data for the Advisor; financial data for the Sub-Advisor; any indirect
benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"),
and the Sub-Advisor; and information on the Advisor's and the Sub-Advisor's
compliance programs. The Board reviewed initial materials with the Advisor at
the meeting held on April 18, 2022, prior to which the Independent Trustees and
their counsel met separately to discuss the information provided by the Advisor
and the Sub-Advisor. Following the April meeting, counsel to the Independent
Trustees, on behalf of the Independent Trustees, requested certain
clarifications and supplements to the materials provided, and the information
provided in response to those requests was considered at an executive session of
the Independent Trustees and their counsel held prior to the June 12-13, 2022
meeting, as well as at the June meeting. The Board applied its business judgment
to determine whether the arrangements between the Trust and the Advisor and
among the Trust, the Advisor and the Sub-Advisor continue to be reasonable
business arrangements from each Fund's perspective. The Board determined that,
given the totality of the information provided with respect to the Agreements,
the Board had received sufficient information to renew the Agreements. The Board
considered that shareholders chose to invest or remain invested in a Fund
knowing that the Advisor and the Sub-Advisor manage the Fund and knowing the
Fund's unitary fee.

In reviewing the applicable Agreements for each Fund, the Board considered the
nature, extent and quality of the services provided by the Advisor and the
Sub-Advisor under the applicable Agreements. With respect to the Advisory
Agreements, the Board considered that the Advisor is responsible for the overall
management and administration of the Trust and each Fund and reviewed all of the

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services provided by the Advisor to the Funds, including the oversight of the
Sub-Advisor, as well as the background and experience of the persons responsible
for such services. The Board noted that the Advisor oversees the Sub-Advisor's
day-to-day management of each Fund's investments, including portfolio risk
monitoring and performance review. In reviewing the services provided, the Board
noted the compliance program that had been developed by the Advisor and
considered that it includes a robust program for monitoring the Advisor's, the
Sub-Advisor's and each Fund's compliance with the 1940 Act, as well as each
Fund's compliance with its investment objective, policies and restrictions. The
Board also considered a report from the Advisor with respect to its risk
management functions related to the operation of the Funds. Finally, as part of
the Board's consideration of the Advisor's services, the Advisor, in its written
materials and at the April 18, 2022 meeting, described to the Board the scope of
its ongoing investment in additional personnel and infrastructure to maintain
and improve the quality of services provided to the Funds and the other funds in
the First Trust Fund Complex. With respect to the Sub-Advisory Agreements, the
Board noted that each Fund is an actively-managed ETF and the Sub-Advisor
actively manages the Fund's investments. The Board reviewed the materials
provided by the Sub-Advisor and considered the services that the Sub-Advisor
provides to each Fund, including the Sub-Advisor's day-to-day management of the
Funds' investments. In considering the Sub-Advisor's management of the Funds,
the Board noted the background and experience of the Sub-Advisor's portfolio
management teams, including the Board's prior meetings with members of the
portfolio management teams. In light of the information presented and the
considerations made, the Board concluded that the nature, extent and quality of
the services provided to the Trust and each Fund by the Advisor and the
Sub-Advisor under the Agreements have been and are expected to remain
satisfactory and that the Sub-Advisor, under the oversight of the Advisor, has
managed each Fund consistent with its investment objective, policies and
restrictions.

The Board considered the unitary fee rate payable by each Fund under the
applicable Advisory Agreement for the services provided. The Board noted that
the sub-advisory fee for each Fund is paid by the Advisor from the Fund's
unitary fee. The Board considered that as part of the unitary fee the Advisor is
responsible for each Fund's expenses, including the cost of sub-advisory,
transfer agency, custody, fund administration, legal, audit and other services
and license fees, if any, but excluding the fee payment under the applicable
Advisory Agreement and interest, taxes, brokerage commissions and other expenses
connected with the execution of portfolio transactions, distribution and service
fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any.
The Board noted that the Advisor had previously agreed to waive a portion of its
unitary fee for each Fund in an amount equal to 0.10% of the Fund's average
daily net assets until at least December 31, 2022 for FIXD, UCON and DEED and
until at least February 10, 2023 for EFIX. The Board also considered that, to
the extent EFIX invests in underlying funds that are other funds in the First
Trust Fund Complex, the Advisor has agreed to offset the unitary fee paid by
EFIX related to EFIX's assets invested in the affiliated underlying funds. The
Board received and reviewed information showing the fee rates and expense ratios
of the peer funds in the Expense Groups, as well as advisory and unitary fee
rates charged by the Advisor and the Sub-Advisor to other fund (including ETFs)
and non-fund clients, as applicable. Because each Fund pays a unitary fee, the
Board determined that expense ratios were the most relevant comparative data
point. Based on the information provided, the Board noted that the unitary fee
rate for FIXD, after taking into account the contractual fee waiver, was below
the median total (net) expense ratio of the peer funds in its Expense Group and
that the unitary fee rate for each of UCON, DEED and EFIX, after taking into
account the contractual fee waiver, was above the median total (net) expense
ratio of the peer funds in its respective Expense Group. With respect to the
Expense Groups, the Board, at the April 18, 2022 meeting, discussed with
Broadridge its methodology for assembling peer groups and discussed with the
Advisor limitations in creating peer groups for actively-managed ETFs, including
that the Expense Group for DEED contained both actively-managed ETFs and
open-end mutual funds, and different business models that may affect the pricing
of services among ETF sponsors. The Board also noted that not all peer funds
employ an advisor/sub-advisor management structure. The Board took these
limitations and differences into account in considering the peer data. With
respect to fees charged to other non-ETF clients, the Board considered
differences between the Funds and other non-ETF clients that limited their
comparability. In considering the unitary fee rates overall, the Board also
considered the Advisor's statement that it seeks to meet investor needs through
innovative and value-added investment solutions and the Advisor's demonstrated
long-term commitment to each Fund and the other funds in the First Trust Fund
Complex.

The Board considered performance information for each Fund. The Board noted the
process it has established for monitoring each Fund's performance and portfolio
risk on an ongoing basis, which includes quarterly performance reporting from
the Advisor and the Sub-Advisor for the Funds. The Board determined that this
process continues to be effective for reviewing each Fund's performance. The
Board received and reviewed information comparing each of FIXD's and UCON's
performance for the one- and three-year periods ended December 31, 2021 to the
performance of the funds in its respective Performance Universe and a benchmark
index and information comparing DEED's performance for the one-year period ended
December 31, 2021 to the performance of the funds in its Performance Universe
and a benchmark index. Based on the information provided, the Board noted that
each of FIXD and UCON underperformed its respective Performance Universe median
for the one-year period ended December 31, 2021, that DEED outperformed its
Performance Universe median for the one-year period ended December 31, 2021,
that FIXD underperformed its Performance Universe median for the three-year
period ended December 31, 2021 and that UCON outperformed its Performance
Universe median for the three-year period ended December 31, 2021. The Board
also noted that each of FIXD, UCON and DEED outperformed its respective

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benchmark index for the one-year period ended December 31, 2021 and that each of
FIXD and UCON outperformed its respective benchmark index for the three-year
period ended December 31, 2021. Because EFIX commenced operations on February
17, 2021 and therefore has a limited performance history, comparative
performance information for the Fund was not considered.

On the basis of all the information provided on the unitary fee and performance,
as applicable, of each Fund and the ongoing oversight by the Board, the Board
concluded that the unitary fee for each Fund (out of which the Sub-Advisor is
compensated) continues to be reasonable and appropriate in light of the nature,
extent and quality of the services provided by the Advisor and the Sub-Advisor
to each Fund under the Agreements.

The Board considered information and discussed with the Advisor whether there
were any economies of scale in connection with providing advisory services to
the Funds and noted the Advisor's statement that it believes that its expenses
relating to providing advisory services to the Funds will likely increase during
the next twelve months as the Advisor continues to build infrastructure and add
new staff. The Board noted that any reduction in fixed costs associated with the
management of the Funds would benefit the Advisor, but that the unitary fee
structure provides a level of certainty in expenses for the Funds. The Board
considered the revenues and allocated costs (including the allocation
methodology) of the Advisor in serving as investment advisor to each of FIXD,
UCON and DEED for the twelve months ended December 31, 2021 and to EFIX for the
period from inception through December 31, 2021 and the estimated profitability
level for each Fund calculated by the Advisor based on such data, as well as
complex-wide and product-line profitability data, for the twelve months ended
December 31, 2021. The Board noted the inherent limitations in the profitability
analysis and concluded that, based on the information provided, the Advisor's
profitability level for each Fund was not unreasonable. In addition, the Board
considered indirect benefits described by the Advisor that may be realized from
its relationship with the Funds. The Board considered that the Advisor had
identified as an indirect benefit to the Advisor and FTP their exposure to
investors and brokers who, absent their exposure to the Funds, may have had no
dealings with the Advisor or FTP. The Board concluded that the character and
amount of potential indirect benefits to the Advisor were not unreasonable.

The Board considered the Sub-Advisor's statements that the Sub-Advisor believes
economies of scale in managing fixed-income portfolios are limited and that the
current sub-advisory fees appropriately reflect economies of scale, and that the
Sub-Advisor continues to add resources commensurate with and often ahead of the
demands of its business. The Board did not review the profitability of the
Sub-Advisor with respect to each Fund. The Board noted that the Advisor pays the
Sub-Advisor for each Fund from its unitary fee and its understanding that each
Fund's sub-advisory fee rate was the product of an arm's length negotiation. The
Board concluded that the profitability analysis for the Advisor was more
relevant. The Board considered the potential indirect benefits to the
Sub-Advisor from being associated with the Advisor and the Funds, and noted the
Sub-Advisor's statements that the Sub-Advisor does not accrue any ancillary or
indirect benefits due to its relationship with the Funds, and that the
Sub-Advisor's U.S./Developed Markets and Emerging Markets Fixed Income Teams do
not enter into soft dollar arrangements. The Board concluded that the character
and amount of potential indirect benefits to the Sub-Advisor were not
unreasonable.

Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, unanimously determined that the terms
of the Agreements continue to be fair and reasonable and that the continuation
of the Agreements is in the best interests of each Fund. No single factor was
determinative in the Board's analysis.

LIQUIDITY RISK MANAGEMENT PROGRAM

In accordance with Rule 22e-4 under the Investment Company Act of 1940, as
amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund
Complex, other than the closed-end funds, have adopted and implemented a
liquidity risk management program (the "Program") reasonably designed to assess
and manage the funds' liquidity risk, i.e., the risk that a fund could not meet
requests to redeem shares issued by the fund without significant dilution of
remaining investors' interests in the fund. The Board of Trustees of the First
Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the
person designated to administer the Program, and in this capacity the Advisor
performs its duties primarily through the activities and efforts of the First
Trust Liquidity Committee (the "Liquidity Committee").

Pursuant to the Program, the Liquidity Committee classifies the liquidity of
each fund's portfolio investments into one of the four liquidity categories
specified by Rule 22e-4: highly liquid investments, moderately liquid
investments, less liquid investments and illiquid investments. The Liquidity
Committee determines certain of the inputs for this classification process,
including reasonably anticipated trade sizes and significant investor dilution
thresholds. The Liquidity Committee also determines and periodically reviews a
highly liquid investment minimum for certain funds, monitors the funds' holdings
of assets classified as illiquid investments to seek to ensure they do not
exceed 15% of a fund's net assets and establishes policies and procedures
regarding redemptions in kind.

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AUGUST 31, 2022 (UNAUDITED)

At the April 18, 2022 meeting of the Board of Trustees, as required by Rule
22e-4 and the Program, the Advisor provided the Board with a written report
prepared by the Advisor that addressed the operation of the Program during the
period from March 16, 2021 through the Liquidity Committee's annual meeting held
on March 17, 2022 and assessed the Program's adequacy and effectiveness of
implementation during this period, including the operation of the highly liquid
investment minimum for each fund that is required under the Program to have one,
and any material changes to the Program. Note that because the Funds primarily
hold assets that are highly liquid investments, the Funds have not adopted any
highly liquid investment minimums.

As stated in the written report, during the review period, no fund breached the
15% limitation on illiquid investments, no fund with a highly liquid investment
minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor
concluded that each fund's investment strategy is appropriate for an open-end
fund; that the Program operated effectively in all material respects during the
review period; and that the Program is reasonably designed to assess and manage
the liquidity risk of each fund and to maintain compliance with Rule 22e-4.

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FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022 (UNAUDITED)

The following tables identify the Trustees and Officers of the Trust. Unless
otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite
400, Wheaton, IL 60187.

The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.

NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST
POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------

Richard E. Erickson, Trustee o Indefinite Term Physician, Edward-Elmhurst Medical 220 None
(1951) Group; Physician and Officer,
o Since Inception Wheaton Orthopedics (1990 to 2021)

Thomas R. Kadlec, Trustee o Indefinite Term Retired; President, ADM Investors 220 Director, National Futures
(1957) Services, Inc. (Futures Commission Association and ADMIS
o Since Inception Merchant) (2010 to July 2022) Singapore Ltd.; Formerly,
Director of ADM Investor
Services, Inc., ADM
Investor Services
International, ADMISHong
Kong Ltd., and
Futures Industry
Association

Denise M. Keefe, Trustee o Indefinite Term Executive Vice President, Advocate 220 Director and Board Chair
(1964) Aurora Health and President, of Advocate Home Health
o Since 2021 Advocate Aurora Continuing Health Services, Advocate Home
Division (Integrated Healthcare Care Products and
System) Advocate Hospice;
Director and Board Chair
of Aurora At Home (since
2018); Director of
Advocate Physician
Partners Accountable Care
Organization; Director and
Board Chair of RML Long
Term Acute Care
Hospitals; and Director of
Senior Helpers (since
2021)

Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises 220 Formerly, Director of
(1956) (Financial and Management Trust Company of Illinois
o Since Inception Consulting)

Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (2018 to Present), 220 None
(1954) Managing Director and Chief
o Since Inception Operating Officer (2015 to 2018),
Pelita Harapan Educational
Foundation (Educational
Products and Services)

------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First 220 None
Chairman of the Board Trust Advisors L.P. and First Trust
(1955) o Since Inception Portfolios L.P., Chairman of the
Board of Directors, BondWave LLC
(Software Development Company) and
Stonebridge Advisors LLC
(Investment Advisor)

-----------------------------

(1) Mr. Bowen is deemed an "interested person" of the Trust due to his
position as Chief Executive Officer of First Trust Advisors L.P.,
investment advisor of the Trust.

Page 131

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BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022 (UNAUDITED)

POSITION AND TERM OF OFFICE
NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
------------------------------------------------------------------------------------------------------------------------------------

James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer, First
(1966) Executive Officer Trust Advisors L.P. and First Trust Portfolios L.P.;
o Since Inception Chief Financial Officer, BondWave LLC (Software
Development Company) and Stonebridge Advisors
LLC (Investment Advisor)

Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1972) Officer and Chief First Trust Portfolios L.P.
Accounting Officer o Since Inception

W. Scott Jardine Secretary and Chief Legal o Indefinite Term General Counsel, First Trust Advisors L.P. and First
(1960) Officer Trust Portfolios L.P.; Secretary and General Counsel,
o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC

Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First
(1970) Trust Portfolios L.P.
o Since Inception

Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. and
(1966) and Assistant Secretary First Trust Portfolios L.P.
o Since Inception

Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1966) First Trust Portfolios L.P.
o Since Inception

Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1970) First Trust Portfolios L.P.
o Since Inception

-----------------------------

(2) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.

Page 132

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PRIVACY POLICY
--------------------------------------------------------------------------------

FIRST TRUST EXCHANGE-TRADED FUND VIII
AUGUST 31, 2022 (UNAUDITED)

First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.

SOURCES OF INFORMATION

We collect nonpublic personal information about you from the following sources:

o Information we receive from you and your broker-dealer, investment
professional or financial representative through interviews,
applications, agreements or other forms;

o Information about your transactions with us, our affiliates or
others;

o Information we receive from your inquiries by mail, e-mail or
telephone; and

o Information we collect on our website through the use of "cookies."
For example, we may identify the pages on our website that your
browser requests or visits.

INFORMATION COLLECTED

The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.

DISCLOSURE OF INFORMATION

We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:

o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.

o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).

In addition, in order to alert you to our other financial products and services,
we may share your personal information within First Trust.

USE OF WEBSITE ANALYTICS

We currently use third party analytics tools, Google Analytics and AddThis, to
gather information for purposes of improving First Trust's website and marketing
our products and services to you. These tools employ cookies, which are small
pieces of text stored in a file by your web browser and sent to websites that
you visit, to collect information, track website usage and viewing trends such
as the number of hits, pages visited, videos and PDFs viewed and the length of
user sessions in order to evaluate website performance and enhance navigation of
the website. We may also collect other anonymous information, which is generally
limited to technical and web navigation information such as the IP address of
your device, internet browser type and operating system for purposes of
analyzing the data to make First Trust's website better and more useful to our
users. The information collected does not include any personal identifiable
information such as your name, address, phone number or email address unless you
provide that information through the website for us to contact you in order to
answer your questions or respond to your requests. To find out how to opt-out of
these services click on: Google Analytics and AddThis.

CONFIDENTIALITY AND SECURITY

With regard to our internal security procedures, First Trust restricts access to
your nonpublic personal information to those First Trust employees who need to
know that information to provide products or services to you. We maintain
physical, electronic and procedural safeguards to protect your nonpublic
personal information.

POLICY UPDATES AND INQUIRIES

As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time, however, if we do change
it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).

March 2022

Page 133

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FIRST TRUST

First Trust Exchange-Traded Fund VIII

INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187

INVESTMENT SUB-ADVISOR
TCW Investment Management Company LLC
865 South Figueroa Street
Los Angeles, CA 90017

ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606

LEGAL COUNSEL
Chapman and Cutler LLP
320 South Canal Street
Chicago, IL 60606

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